Adaptive sampling for detecting a change point in the past

David Assaf; Ya’cov Ritov

doi:10.1080/07474949208836257

Adaptive sampling for detecting a change point in the past

David Assaf, Ya’cov Ritov

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

Consider the problem of estimating a change point in the drift of Brownian motion which is known to have occurred at some time during the time interval [0,1]. Rather than observing the process, we use “adaptive (dynamic) sampling” which allows us to continuously select the time points at which.

Original language	English
Pages (from-to)	237-255
Number of pages	19
Journal	Sequential Analysis
Volume	11
Issue number	3
DOIs	https://doi.org/10.1080/07474949208836257
State	Published - 1 Jan 1992

Keywords

Brow-
dynamic sampling
nian motion
stochastic approximation

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10.1080/07474949208836257

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abstract = "Consider the problem of estimating a change point in the drift of Brownian motion which is known to have occurred at some time during the time interval [0,1]. Rather than observing the process, we use “adaptive (dynamic) sampling” which allows us to continuously select the time points at which.",

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Adaptive sampling for detecting a change point in the past

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