Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model (Q5476157): Difference between revisions

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scientific article; zbMATH DE number 5036962

Language	Label	Description	Also known as
English	Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model	scientific article; zbMATH DE number 5036962

Statements

instance of

scholarly article

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title

Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model (English)

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author

Olympia Hadjiliadis

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published in

Journal of Applied Probability

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publication date

29 June 2006

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zbMATH Keywords

sequential change detection

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detection delay

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two-sided CUSUM

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1239/jap/1134587825

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cites work

Q3264543

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A note on Ritov's Bayes approach to the minimax property of the cusum procedure

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Q4871595

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The design and analysis of 2-CUSUM procedure

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Sequential methods in pattern recognition and machine learning

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Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model with Multiple Alternatives

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Procedures for Reacting to a Change in Distribution

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Optimal stopping times for detecting changes in distributions

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Optimality of the CUSUM procedure in continuous time.

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CONTINUOUS INSPECTION SCHEMES

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A diffusion process and its applications to detecting a change in the drift of Brownian motion

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Quickest detection with exponential penalty for delay

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On Optimum Methods in Quickest Detection Problems

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Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time

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Sequential analysis. Tests and confidence intervals

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Evaluations of some Exponentially Weighted Moving Average methods

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Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean

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Asymptotic properties of CUSUM and Shiryaev's procedures for detecting a change in a nonhomogeneous Gaussian process

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Identifiers

zbMATH Open document ID

1093.62078

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Mathematics Subject Classification ID

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10.1239/JAP/1134587825

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Sitelinks

Mathematics(1 entry)

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+Sequential methods in pattern recognition and machine learning
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@@ Property / cites work @@
+Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model with Multiple Alternatives
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+Procedures for Reacting to a Change in Distribution
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@@ Property / cites work @@
+Optimal stopping times for detecting changes in distributions
+Normal rank
@@ Property / cites work @@
+Optimality of the CUSUM procedure in continuous time.
+Normal rank
@@ Property / cites work @@
+CONTINUOUS INSPECTION SCHEMES
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+Normal rank
@@ Property / cites work @@
+A diffusion process and its applications to detecting a change in the drift of Brownian motion
+Normal rank
@@ Property / cites work @@
+Quickest detection with exponential penalty for delay
+Normal rank
@@ Property / cites work @@
+On Optimum Methods in Quickest Detection Problems
@@ Property / cites work: On Optimum Methods in Quickest Detection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
+Normal rank
@@ Property / cites work @@
+Sequential analysis. Tests and confidence intervals
+Normal rank
@@ Property / cites work @@
+Evaluations of some Exponentially Weighted Moving Average methods
+Normal rank
@@ Property / cites work @@
+Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of CUSUM and Shiryaev's procedures for detecting a change in a nonhomogeneous Gaussian process
+Normal rank
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+.1239/JAP/1134587825
@@ Property / DOI: 10.1239/JAP/1134587825 / rank @@
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