On the quasi-stationary distribution of the Shiryaev–Roberts diffusion

DOI10.1080/07474946.2016.1275512zbMath1362.62158arXiv1606.06658OpenAlexW3105436687MaRDI QIDQ2986851

Aleksey S. Polunchenko

Publication date: 16 May 2017

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.06658

zbMATH Keywords

quasi-stationary distributionWhittaker functionsShiryaev-Roberts procedurequickest change-point detection

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Sequential statistical analysis (62L10)

Related Items (9)

A combined SR-CUSUM procedure for detecting common changes in panel data ⋮ Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval ⋮ Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time ⋮ On the evaluation of an integral involving the Whittaker \(W\) function ⋮ A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line ⋮ Sequential Common Change Detection and Isolation of Changed Panels in Panel Data ⋮ Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval ⋮ On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion ⋮ Power of the MOSUM test for online detection of a transient change in mean

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