ENBIS-8 in Athens

21 – 25 September 2008 Abstract submission: 14 March – 11 August 2008

Optimal Change-Point Detection for EWMA Processes

23 September 2008, 09:40 – 10:00

Abstract

Submitted by
Stelios Psarakis
Authors
S. Psarakis and A.N. Yannacopoulos
Affiliation
Department of Statistics - Athens University of Economics and Business
Abstract
We revisit the problem of change-point detection in EWMA processes by employing the reformulation as an optimal stopping problem. The optimal stopping rules are obtained by the solution of variation inequalities. In certain limiting cases the connection with optimal stopping problems of associated Brownian motion is made. Furthermore, we consider the application of the results in selected problems.

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