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

21 July 2009

G. Moustakides

Aleksey S. Polunchenko

A. Tartakovsky

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

26 / 26 papers shown

Title
More On the Quasi-Stationary Distribution of the Shiryaev--Roberts Diffusion Soumik Banerjee Aleksey S. Polunchenko 29 0 0 30 Oct 2023
Sequential changepoint detection in classification data under label shift Ciaran Evans M. G'Sell 31 0 0 18 Sep 2020
On the Convergence Rate of the Quasi- to Stationary Distribution for the Shiryaev-Roberts Diffusion Kexuan Li Aleksey S. Polunchenko 31 2 0 05 Jul 2019
Asymptotic Optimality of Mixture Rules for Detecting Changes in General Stochastic Models A. Tartakovsky 35 10 0 24 Jul 2018
Comparative Performance Analysis of the Cumulative Sum Chart and the Shiryaev-Roberts Procedure for Detecting Changes in Autocorrelated Data Aleksey S. Polunchenko V. Raghavan 48 8 0 02 Jun 2017
Asymptotic Exponentiality of the First Exit Time of the Shiryaev-Roberts Diffusion with Constant Positive Drift Aleksey S. Polunchenko 58 4 0 28 Feb 2017
Minimax Optimality of Shiryaev-Roberts Procedure for Quickest Drift Change Detection of a Brownian motion T. Banerjee G. Moustakides 53 2 0 09 Oct 2016
Asymptotic Near-Minimaxity of the Randomized Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time Aleksey S. Polunchenko 42 11 0 12 Jul 2016
Optimal Design of the Shiryaev-Roberts Chart: Give Your Shiryaev-Roberts a Headstart Aleksey S. Polunchenko 24 2 0 04 Jul 2016
Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models C. Fuh A. Tartakovsky 39 36 0 03 Jul 2016
On the Quasi-Stationary Distribution of the Shiryaev-Roberts Diffusion Aleksey S. Polunchenko 39 12 0 21 Jun 2016
Exact Distribution of the Generalized Shiryaev-Roberts Stopping Time Under the Minimax Brownian Motion Setup Aleksey S. Polunchenko 38 8 0 17 Jan 2016
An Analytic Expression for the Distribution of the Generalized Shiryaev-Roberts Diffusion Aleksey S. Polunchenko Grigory Sokolov 43 8 0 15 Jan 2016
On Asymptotic Optimality in Sequential Changepoint Detection: Non-iid Case A. Tartakovsky 58 37 0 13 Oct 2015
Asymptotically Optimal Pointwise and Minimax Quickest Change-point Detection for Dependent Data S. Pergamenchtchikov A. Tartakovsky 79 26 0 10 Oct 2015
On Robustness of the Shiryaev-Roberts Procedure for Quickest Change-Point Detection under Parameter Misspecification in the Post-Change Distribution Wenyu Du Aleksey S. Polunchenko Grigory Sokolov 26 0 0 18 Apr 2015
An Exact Formula for the Average Run Length to False Alarm of the Generalized Shiryaev-Roberts Procedure for Change-Point Detection under Exponential Observations Wenyu Du Grigory Sokolov Aleksey S. Polunchenko 55 3 0 29 Aug 2014
Efficient Performance Evaluation of the Generalized Shiryaev--Roberts Detection Procedure in a Multi-Cyclic Setup Aleksey S. Polunchenko Grigory Sokolov Wenyu Du 73 10 0 17 Dec 2013
Quickest Change-Point Detection: A Bird's Eye View Aleksey S. Polunchenko Grigory Sokolov Wenyu Du 62 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 89 17 0 26 Jul 2013
An Accurate Method for Determining the Pre-Change Run-Length Distribution of the Generalized Shiryaev--Roberts Detection Procedure Aleksey S. Polunchenko Grigory Sokolov Wenyu Du 67 13 0 11 Jul 2013
Quickest Change Detection Venugopal V. Veeravalli T. Banerjee AI4TS 118 125 0 19 Oct 2012
State-of-the-Art in Sequential Change-Point Detection Aleksey S. Polunchenko A. Tartakovsky AI4TS 86 141 0 13 Sep 2011
On the Expectation of the First Exit Time of a Nonnegative Markov Process Started at a Quasistationary Distribution M. Pollak A. Tartakovsky 72 1 0 04 Jun 2010
Third-order Asymptotic Optimality of the Generalized Shiryaev-Roberts Changepoint Detection Procedures A. Tartakovsky M. Pollak Aleksey S. Polunchenko 118 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 204 49 0 28 Aug 2009