B Buonaguidi, A Mira, H Bucheli, V Vitanis - Bayesian Analysis, 2022 - projecteuclid.org
This paper addresses the risk of fraud in credit card transactions by developing a probabilistic model for the quickest detection of illegitimate purchases. Using optimal …
S Dayanik, SO Sezer - Mathematics of Operations Research, 2006 - pubsonline.informs.org
In the compound Poisson disorder problem, arrival rate and/or jump distribution of some compound Poisson process changes suddenly at some unknown and unobservable time …
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the …
Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time. The …
A Cohen, E Solan - Mathematics of Operations Research, 2013 - pubsonline.informs.org
Bandit problems model the trade-off between exploration and exploitation in various decision problems. We study two-armed bandit problems in continuous time, where the risky …
We consider the problem of detecting abrupt changes (ie, large jump discontinuities) in the rate function of a point process. The rate function is assumed to be fully unknown, non …
S Dayanik - Sequential Analysis, 2010 - Taylor & Francis
The quickest detection of the unknown and unobservable disorder time, when the arrival rate and mark distribution of a compound Poisson process suddenly changes, is formulated …
DY Kim, WB Wu, Y Wu - Submitted manuscript, 2023 - researchgate.net
The detection of change of both the arrival rate and jump size mean in a compound Poisson process is studied and compared at the first time by using the CUSUM and Shiryayev …
H Zhang, N Rodosthenous, O Hadjiliadis - 2015 - projecteuclid.org
We study a Wiener disorder problem of detecting the minimum of N change-points in N observation channels coupled by correlated noises. It is assumed that the observations in …