Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions

DOI10.1080/03610920902947774zbMath1175.62084arXiv0908.4119OpenAlexW2118705434MaRDI QIDQ3645039

Aleksey S. Polunchenko, Alexander G. Tartakovsky, George V. Moustakides

Publication date: 16 November 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.4119

zbMATH Keywords

numerical analysisFredholm integral equation of the second kindsequential analysisCUSUM testquickest change-point detectionShiryaev-Roberts test

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (17)

On control charts for monitoring the variance of a time series ⋮ Adaptive resources allocation CUSUM for binomial count data monitoring with application to COVID-19 hotspot detection ⋮ On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution ⋮ A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data ⋮ The steady-state behavior of multivariate exponentially weighted moving average control charts ⋮ Change detection for uncertain autoregressive dynamic models through nonparametric estimation ⋮ Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data ⋮ An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure ⋮ From Disorder Detection to Optimal Stopping and Mathematical Finance ⋮ State-of-the-Art in Bayesian Changepoint Detection ⋮ Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis ⋮ Power of the MOSUM test for online detection of a transient change in mean ⋮ An Adaptive Shiryaev–Roberts Procedure for Signalling Varying Location Shifts ⋮ Quickest drift change detection in Lévy-type force of mortality model ⋮ Steady-state average run length(s): Methodology, formulas, and numerics ⋮ On robustness of the Shiryaev–Roberts change-point detection procedure under parameter misspecification in the post-change distribution

Cites Work

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• Sequential change detection revisited
• Theoretical Numerical Analysis
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Information bounds and quick detection of parameter changes in stochastic systems
• On Optimum Methods in Quickest Detection Problems
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES
• Linear integral equations

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