Sequential change detection revisited

DOI10.1214/009053607000000938zbMath1133.62063arXiv0804.0741OpenAlexW2101257316MaRDI QIDQ2426623

George V. Moustakides

Publication date: 23 April 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.0741

zbMATH Keywords

change-pointsequential detectiondisorder problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (19)

Online score statistics for detecting clustered change in network point processes ⋮ Detecting changes in real-time data: a user’s guide to optimal detection ⋮ Optimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation Sequences ⋮ State-of-the-art in sequential change-point detection ⋮ Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem ⋮ Minimax and adaptive tests for detecting abrupt and possibly transitory changes in a Poisson process ⋮ Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models ⋮ Signaling NBER turning points: a sequential approach ⋮ Author's Responses ⋮ Asymptotically Optimal Quickest Change Detection in Distributed Sensor Systems ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes ⋮ State-of-the-Art in Bayesian Changepoint Detection ⋮ Compound Poisson Disorder Problems with Nonlinear Detection Delay Penalty Cost Functions ⋮ On the Wiener disorder problem ⋮ Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution ⋮ Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions ⋮ Multiple Optimality Properties of the Shewhart Test ⋮ Steady-state average run length(s): Methodology, formulas, and numerics ⋮ Optimal sequential tests for detection of changes under finite measure space for finite sequences of networks

Cites Work

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• Comments on: ``A note on optimal detection of a change in distribution, by Benjamin Yakir
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• A note on Bayesian detection of change-points with an expected miss criterion
• Poisson Disorder Problem with Exponential Penalty for Delay
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES

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