Asymptotic Near-Minimaxity of the Randomized Shiryaev-Roberts-Pollak
Change-Point Detection Procedure in Continuous Time

v1v2v3v4 (latest)

Asymptotic Near-Minimaxity of the Randomized Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time

12 July 2016

Aleksey S. Polunchenko

ArXiv (abs)PDF HTML

Papers citing "Asymptotic Near-Minimaxity of the Randomized Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time"

5 / 5 papers shown

Title
On the Convergence Rate of the Quasi- to Stationary Distribution for the Shiryaev-Roberts Diffusion Kexuan Li Aleksey S. Polunchenko 38 2 0 05 Jul 2019
Analytic Evaluation of the Fractional Moments for the Quasi-Stationary Distribution of the Shiryaev Martingale on an Interval Kexuan Li Aleksey S. Polunchenko Andrey Pepelyshev 13 3 0 05 Apr 2019
A Note on the Quasi-Stationary Distribution of the Shiryaev Martingale on the Positive Half-Line Aleksey S. Polunchenko S. Martínez Jaime San Martín 23 5 0 14 Nov 2017
Asymptotic Exponentiality of the First Exit Time of the Shiryaev-Roberts Diffusion with Constant Positive Drift Aleksey S. Polunchenko 63 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