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Change-point detection of two-sided ...

Hadjiliadis, Olympia.

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Change-point detection of two-sided alternatives in the Brownian motion model and its connection to the gambler's ruin problem with relative wealth perception.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Change-point detection of two-sided alternatives in the Brownian motion model and its connection to the gambler's ruin problem with relative wealth perception./
Author:	Hadjiliadis, Olympia.
Description:	85 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-10, Section: B, page: 5219.
Contained By:	Dissertation Abstracts International65-10B.
Subject:	Statistics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3151262
ISBN:	0496111124

Change-point detection of two-sided alternatives in the Brownian motion model and its connection to the gambler's ruin problem with relative wealth perception.
Hadjiliadis, Olympia.

Change-point detection of two-sided alternatives in the Brownian motion model and its connection to the gambler's ruin problem with relative wealth perception. - 85 p.

Source: Dissertation Abstracts International, Volume: 65-10, Section: B, page: 5219.

Thesis (Ph.D.)--Columbia University, 2005.

This thesis addresses the problem of change-point detection in the Brownian motion model with multiple alternatives. Attention is drawn to the 2-CUSUM stopping time and its properties as a means of detecting a two-sided change. It is shown that the 2-CUSUM stopping rule is second-order asymptotically optimal as the frequency of false alarms tends to infinity. The above problem can be related to the gambler's ruin problem in which gamblers make their decisions to quit the game based on the relative change in their wealth. Probabilities of exiting after a pre-specified upward rally in the gambler's wealth (or a pre-specified downward fall) are determined both in the discrete time framework and in the continuous time framework.

ISBN: 0496111124Subjects--Topical Terms:

517247
Statistics.

Change-point detection of two-sided alternatives in the Brownian motion model and its connection to the gambler's ruin problem with relative wealth perception.
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020 $a 0496111124
035 $a (UnM)AAI3151262
035 $a AAI3151262
040 $a UnM $c UnM
100 1 $a Hadjiliadis, Olympia. $3 944079
245 1 0 $a Change-point detection of two-sided alternatives in the Brownian motion model and its connection to the gambler's ruin problem with relative wealth perception.
300 $a 85 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-10, Section: B, page: 5219.
500 $a Adviser: Jan Vecer.
502 $a Thesis (Ph.D.)--Columbia University, 2005.
520 $a This thesis addresses the problem of change-point detection in the Brownian motion model with multiple alternatives. Attention is drawn to the 2-CUSUM stopping time and its properties as a means of detecting a two-sided change. It is shown that the 2-CUSUM stopping rule is second-order asymptotically optimal as the frequency of false alarms tends to infinity. The above problem can be related to the gambler's ruin problem in which gamblers make their decisions to quit the game based on the relative change in their wealth. Probabilities of exiting after a pre-specified upward rally in the gambler's wealth (or a pre-specified downward fall) are determined both in the discrete time framework and in the continuous time framework.
590 $a School code: 0054.
650 4 $a Statistics. $3 517247
690 $a 0463
710 2 0 $a Columbia University. $3 571054
773 0 $t Dissertation Abstracts International $g 65-10B.
790 1 0 $a Vecer, Jan, $e advisor
790 $a 0054
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3151262