A Numerical Approach to Performance Analysis of Quickest Change-Point Detection Procedures

21 July 2009

Papers citing "A Numerical Approach to Performance Analysis of Quickest Change-Point Detection Procedures"

15 / 15 papers shown

Title
On the Convergence Rate of the Quasi- to Stationary Distribution for the Shiryaev-Roberts Diffusion Kexuan Li Aleksey S. Polunchenko 14 2 0 05 Jul 2019
Comparative Performance Analysis of the Cumulative Sum Chart and the Shiryaev-Roberts Procedure for Detecting Changes in Autocorrelated Data Aleksey S. Polunchenko V. Raghavan 15 8 0 02 Jun 2017
Asymptotic Exponentiality of the First Exit Time of the Shiryaev-Roberts Diffusion with Constant Positive Drift Aleksey S. Polunchenko 37 4 0 28 Feb 2017
Minimax Optimality of Shiryaev-Roberts Procedure for Quickest Drift Change Detection of a Brownian motion T. Banerjee G. Moustakides 35 2 0 09 Oct 2016
Asymptotic Near-Minimaxity of the Randomized Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time Aleksey S. Polunchenko 17 11 0 12 Jul 2016
On the Quasi-Stationary Distribution of the Shiryaev-Roberts Diffusion Aleksey S. Polunchenko 19 12 0 21 Jun 2016
An Analytic Expression for the Distribution of the Generalized Shiryaev-Roberts Diffusion Aleksey S. Polunchenko Grigory Sokolov 9 8 0 15 Jan 2016
On Asymptotic Optimality in Sequential Changepoint Detection: Non-iid Case A. Tartakovsky 19 37 0 13 Oct 2015
Asymptotically Optimal Pointwise and Minimax Quickest Change-point Detection for Dependent Data S. Pergamenchtchikov A. Tartakovsky 21 26 0 10 Oct 2015
Efficient Performance Evaluation of the Generalized Shiryaev--Roberts Detection Procedure in a Multi-Cyclic Setup Aleksey S. Polunchenko Grigory Sokolov Wenyu Du 39 10 0 17 Dec 2013
Quickest Change-Point Detection: A Bird's Eye View Aleksey S. Polunchenko Grigory Sokolov Wenyu Du 35 23 0 11 Oct 2013
Optimal Design and Analysis of the Exponentially Weighted Moving Average Chart for Exponential Data Aleksey S. Polunchenko Grigory Sokolov A. Tartakovsky 35 17 0 26 Jul 2013
Third-order Asymptotic Optimality of the Generalized Shiryaev-Roberts Changepoint Detection Procedures A. Tartakovsky M. Pollak Aleksey S. Polunchenko 57 72 0 07 May 2010
Numerical Comparison of Cusum and Shiryaev-Roberts Procedures for Detecting Changes in Distributions G. Moustakides Aleksey S. Polunchenko A. Tartakovsky 112 49 0 28 Aug 2009
Sequential change detection revisited G. Moustakides AI4TS 116 62 0 04 Apr 2008