An Exact Formula for the Average Run Length to False Alarm of the Generalized Shiryaev–Roberts Procedure for Change-Point Detection under Exponential Observations

DOI10.1007/978-3-319-13881-7_7zbMath1353.62138arXiv1408.6937OpenAlexW1571775524MaRDI QIDQ2833359

Wenyu du, Aleksey S. Polunchenko, Grigory Sokolov

Publication date: 18 November 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.6937

zbMATH Keywords

control chartschange-point detectionaverage run lengthexact formulafalse alarmARLgeneralized Shiryaev-Roberts (GSR)

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Exact distribution theory in statistics (62E15) Sequential statistical analysis (62L10) Reliability and life testing (62N05) Optimal stopping in statistics (62L15)

This page was built for publication: An Exact Formula for the Average Run Length to False Alarm of the Generalized Shiryaev–Roberts Procedure for Change-Point Detection under Exponential Observations