An Extended Optimal Stopping Method for Structural Change Point Detection Problem

DOI オープンアクセス

説明

Previously, we have proposed and formulated the SCPD (Structural Change Point Detection) problem in time series data as an Optimal Stopping one using the concept of DP (Dynamic Programming). And also we have shown the solution theorem in the form of inequality. In this paper, based on the relation between the solution of Optimal Stopping and NSPRT (New Sequential Probability Ratio Test), we present the extended Optimal Stopping Method in order to obtain more practical one, considering a loss cost and an action cost involved by failure prediction.

収録刊行物

キーワード

詳細情報 詳細情報について

  • CRID
    1390564238096995712
  • DOI
    10.5954/icarob.2017.os19-3
  • ISSN
    21887829
  • 本文言語コード
    en
  • データソース種別
    • JaLC
    • Crossref
    • OpenAIRE
  • 抄録ライセンスフラグ
    使用不可

問題の指摘

ページトップへ