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Optimal Detection of a Hidden Target

Tuesday 14th January 2014 - 16:30 to 17:00
INI Seminar Room 1
Imagine that you are observing a sample path of the continuous process started at zero and that you wish to detect when this sample path reaches a level that is not directly observable. Situations of this type occur naturally in many applied problems and there is a whole range of hypotheses that can be introduced to study various particular aspects of the problem. We will present a review of the recent results with a view to inference for change-points.
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons