Decision theoretic optimality of the cusum procedure
From MaRDI portal
Publication:749130
DOI10.1214/aos/1176347761zbMath0712.62073OpenAlexW2008706653MaRDI QIDQ749130
Publication date: 1990
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347761
Statistical decision theory (62C99) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
Related Items (57)
Likelihood Ratio Identities and Their Applications to Sequential Analysis ⋮ The detection and estimation of the change point in a disccrete-time stochastic system ⋮ Optimality of the CUSUM procedure in continuous time. ⋮ A generalized EWMA control chart and its comparison with the optimal EWMA, CUSUM and GLR schemes. ⋮ Quality control for structural credit risk models ⋮ Methods of analyzing nonstationary time series with implicit changes in their properties ⋮ Detection and Diagnosis of Unknown Abrupt Changes Using CUSUM Multi-Chart Schemes ⋮ A note on Ritov's Bayes approach to the minimax property of the cusum procedure ⋮ The optimized CUSUM and EWMA multi-charts for jointly detecting a range of mean and variance change ⋮ Detecting changes in real-time data: a user’s guide to optimal detection ⋮ Real-time assessment of value-at-risk and volatility accuracy ⋮ An empirical likelihood-based CUSUM for on-line model change detection ⋮ Nonparametric tests and nested sequential sampling plans for change-point detection ⋮ On detecting jumps in time series: nonparametric setting ⋮ Statistical Surveillance. Optimality and Methods ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Optimality of Non-Restarting CUSUM Charts ⋮ State-of-the-art in sequential change-point detection ⋮ Monitoring parameter shift with Poisson integer-valued GARCH models ⋮ Sequential change detection revisited ⋮ On‐board diagnosis for three‐way catalytic converters ⋮ SPRT and CUSUM in hidden Markov models ⋮ Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models ⋮ Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data ⋮ Is Average Run Length to False Alarm Always an Informative Criterion? ⋮ Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple ⋮ Sequential Detection of Transient Changes ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes ⋮ BAYES STOPPING RULES IN A CHANGE-POINT MODEL WITH A RANDOM HAZARD RATE ⋮ The Continuous Run Sum Chart ⋮ Asymptotic operating characteristics of an optimal change point detection in hidden Markov models ⋮ Sequential change-point detection when unknown parameters are present in the pre-change distribution ⋮ A Note on Online Change Point Detection ⋮ From the early days of the semiparametric field: a conversation with Ya'acov Ritov ⋮ Optimal sequential kernel detection for dependent processes ⋮ Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir ⋮ Comparison of the CUSCORE, GLRT and CUSUM control charts for detecting a dynamic mean change ⋮ Unnamed Item ⋮ Real-time change-point detection algorithm with an application to glycemic control for diabetic pregnant women ⋮ The Optimal Stopping Time for Detecting Changes in Discrete Time Markov Processes ⋮ Fast computing for dynamic screening systems when analyzing correlated data ⋮ Evaluating properties of variable sampling interval control charts ⋮ Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup ⋮ Online change detection of Markov chains with unknown post-change transition probabilities ⋮ Computation of the ARL for CUSUM-\(S^2\) schemes ⋮ Comparisons of control schemes for monitoring the means of processes subject to drifts ⋮ Large parametric change-point detection by a V-box control chart ⋮ Adaptive threshold computation for CUSUM-type procedures in change detection and isolation problems ⋮ An extension of a change-point problem ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Detecting a change in regression: First-order optimality ⋮ Change-Point Detection in Binomial Thinning Processes, with Applications in Epidemiology ⋮ Quickest detection with exponential penalty for delay ⋮ Steady-state average run length(s): Methodology, formulas, and numerics ⋮ Nonparametric adaptive change point estimation and on line detection ⋮ Detection and Diagnosis of Distribution Changes of Degree Ratio in Complex Networks ⋮ On robustness of the Shiryaev–Roberts change-point detection procedure under parameter misspecification in the post-change distribution
This page was built for publication: Decision theoretic optimality of the cusum procedure