{"paper":{"title":"Optimal sequential change-detection for fractional diffusion-type processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.ME","stat.TH"],"primary_cat":"math.ST","authors_text":"Alexandra Chronopoulou, Georgios Fellouris","submitted_at":"2011-02-03T03:58:25Z","abstract_excerpt":"We consider the problem of detecting an abrupt change in the distribution of a sequentially observed stochastic process. We establish the optimality of the CUSUM test with respect to a modified version of Lorden's criterion for arbitrary processes with continuous paths and apply this general result to the special case of fractional diffusion-type processes. As a by-product, we show that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst index H adopts a polynomial drift term with exponent H + 1/2 after the change."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1102.0598","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}