کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
8900638 1631718 2018 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Quickest drift change detection in Lévy-type force of mortality model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Quickest drift change detection in Lévy-type force of mortality model
چکیده انگلیسی
In this paper, we give solution to the quickest drift change detection problem for a Lévy process consisting of both a continuous Gaussian part and a jump component. We consider here Bayesian framework with an exponential a priori distribution of the change point using an optimality criterion based on a probability of false alarm and an expected delay of the detection. Our approach is based on the optimal stopping theory and solving some boundary value problem. Paper is supplemented by an extensive numerical analysis related with the construction of the Generalized Shiryaev-Roberts statistics. In particular, we apply this method (after appropriate calibration) to analyse Polish life tables and to model the force of mortality in this population with a drift changing in time.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 338, 1 December 2018, Pages 432-450
نویسندگان
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