Decision theoretic optimality of the cusum procedure

From MaRDI portal
Publication:749130

DOI10.1214/aos/1176347761zbMath0712.62073OpenAlexW2008706653MaRDI QIDQ749130

Ya'acov Ritov

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




Related Items (57)

Likelihood Ratio Identities and Their Applications to Sequential AnalysisThe detection and estimation of the change point in a disccrete-time stochastic systemOptimality 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 modelsMethods of analyzing nonstationary time series with implicit changes in their propertiesDetection and Diagnosis of Unknown Abrupt Changes Using CUSUM Multi-Chart SchemesA note on Ritov's Bayes approach to the minimax property of the cusum procedureThe optimized CUSUM and EWMA multi-charts for jointly detecting a range of mean and variance changeDetecting changes in real-time data: a user’s guide to optimal detectionReal-time assessment of value-at-risk and volatility accuracyAn empirical likelihood-based CUSUM for on-line model change detectionNonparametric tests and nested sequential sampling plans for change-point detectionOn detecting jumps in time series: nonparametric settingStatistical Surveillance. Optimality and MethodsAn analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approachOptimality of Non-Restarting CUSUM ChartsState-of-the-art in sequential change-point detectionMonitoring parameter shift with Poisson integer-valued GARCH modelsSequential change detection revisitedOn‐board diagnosis for three‐way catalytic convertersSPRT and CUSUM in hidden Markov modelsSequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression ModelsComparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated dataIs Average Run Length to False Alarm Always an Informative Criterion?Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally SimpleSequential Detection of Transient ChangesOptimal Sequential Change Detection for Fractional Diffusion-Type ProcessesBAYES STOPPING RULES IN A CHANGE-POINT MODEL WITH A RANDOM HAZARD RATEThe Continuous Run Sum ChartAsymptotic operating characteristics of an optimal change point detection in hidden Markov modelsSequential change-point detection when unknown parameters are present in the pre-change distributionA Note on Online Change Point DetectionFrom the early days of the semiparametric field: a conversation with Ya'acov RitovOptimal sequential kernel detection for dependent processesComments on: ``A note on optimal detection of a change in distribution, by Benjamin YakirComparison of the CUSCORE, GLRT and CUSUM control charts for detecting a dynamic mean changeUnnamed ItemReal-time change-point detection algorithm with an application to glycemic control for diabetic pregnant womenThe Optimal Stopping Time for Detecting Changes in Discrete Time Markov ProcessesFast computing for dynamic screening systems when analyzing correlated dataEvaluating properties of variable sampling interval control chartsExact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setupOnline change detection of Markov chains with unknown post-change transition probabilitiesComputation of the ARL for CUSUM-\(S^2\) schemesComparisons of control schemes for monitoring the means of processes subject to driftsLarge parametric change-point detection by a V-box control chartAdaptive threshold computation for CUSUM-type procedures in change detection and isolation problemsAn extension of a change-point problemAsymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time ModelsDetecting a change in regression: First-order optimalityChange-Point Detection in Binomial Thinning Processes, with Applications in EpidemiologyQuickest detection with exponential penalty for delaySteady-state average run length(s): Methodology, formulas, and numericsNonparametric adaptive change point estimation and on line detectionDetection and Diagnosis of Distribution Changes of Degree Ratio in Complex NetworksOn 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