Optimality of the CUSUM procedure in continuous time.
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Publication:1884615
DOI10.1214/aos/1079120138zbMath1105.62368OpenAlexW2090660158MaRDI QIDQ1884615
Publication date: 5 November 2004
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1079120138
Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)
Related Items (30)
Properties and Use of the Shewhart Method and Its Followers ⋮ Quality control for structural credit risk models ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Optimality of Non-Restarting CUSUM Charts ⋮ A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems ⋮ Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem ⋮ Sequential change detection revisited ⋮ On the Minimax Optimality of the CUSUM Statistic in Disorder Problems for Brownian Motion ⋮ Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models ⋮ On the quasi-stationary distribution of the Shiryaev–Roberts diffusion ⋮ First passage times for Slepian process with linear and piecewise linear barriers ⋮ Change-point detection for Lévy processes ⋮ Bayesian Quickest Detection in Sensor Arrays ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes ⋮ From Disorder Detection to Optimal Stopping and Mathematical Finance ⋮ Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions ⋮ Probability density function of the local score position ⋮ CUSUM control charts for monitoring optimal portfolio weights ⋮ Quickest Detection Problems: Fifty Years Later ⋮ Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup ⋮ Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev ⋮ Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution ⋮ Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei ⋮ Change-Point Detection in Binomial Thinning Processes, with Applications in Epidemiology ⋮ Quickest drift change detection in Lévy-type force of mortality model ⋮ Byzantine Fault Tolerant Distributed Quickest Change Detection ⋮ Asymptotic independence of three statistics of maximal segmental scores ⋮ Drawdowns preceding rallies in the Brownian motion model
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