On robustness of the Shiryaev–Roberts change-point detection procedure under parameter misspecification in the post-change distribution
DOI10.1080/03610918.2015.1039131zbMath1364.62214arXiv1504.04722OpenAlexW2185884875MaRDI QIDQ5267910
Grigory Sokolov, Wenyu du, Aleksey S. Polunchenko
Publication date: 13 June 2017
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.04722
Applications of statistics in engineering and industry; control charts (62P30) Numerical methods for integral equations (65R20) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
Related Items (2)
Cites Work
- Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
- Decision theoretic optimality of the cusum procedure
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- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
- On Optimum Methods in Quickest Detection Problems
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- CONTINUOUS INSPECTION SCHEMES
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