An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure

DOI10.1080/07474946.2014.856642zbMath1319.62175arXiv1307.3214OpenAlexW2051556156MaRDI QIDQ5413555

Aleksey S. Polunchenko, Wenyu du, Grigory Sokolov

Publication date: 30 April 2014

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

Full work available at URL: https://arxiv.org/abs/1307.3214

zbMATH Keywords

Fredholm integral equations of the second kindnumerical analysissequential analysisShiryaev-Roberts proceduresequential change-point detectionShiryaev-Roberts-\(r\) procedure

Mathematics Subject Classification ID

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 (5)

Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data ⋮ Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup ⋮ An Adaptive Shiryaev–Roberts Procedure for Signalling Varying Location Shifts ⋮ 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

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