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Short Communications

A non-parametric method for a posteriori detection of the «disorder» time for a sequence of independent random variables

B. S. Darhovskiĭ

Moscow

Abstract: We consider the problem of estimating the time when the distribution of terms in a sequence of independent random variables changes. A non-parametric estimation method is proposed and, under certain conditions, its consistency is proved.

Received: 10.07.1974

 English version: Theory of Probability and its Applications, 1976, 21:1, 178–183

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