Optimality of the CUSUM procedure in continuous time.
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Cites work
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- scientific article; zbMATH DE number 3045589 (Why is no real title available?)
- A note on Ritov's Bayes approach to the minimax property of the cusum procedure
- Asymptotic properties of CUSUM and Shiryaev's procedures for detecting a change in a nonhomogeneous Gaussian process
- CONTINUOUS INSPECTION SCHEMES
- Decision theoretic optimality of the cusum procedure
- Extended optimality of sequential probability ratio tests
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- Optimal stopping times for detecting changes in distributions
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- Quickest detection with exponential penalty for delay
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(31)- Change-point detection in binomial thinning processes, with applications in epidemiology
- Optimality of Non-Restarting CUSUM Charts
- Quickest detection problems: fifty years later
- Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
- Quickest drift change detection in Lévy-type force of mortality model
- Change-point detection for Lévy processes
- On the minimax optimality of the CUSUM statistic in disorder problems for Brownian motion
- First passage times for Slepian process with linear and piecewise linear barriers
- Optimal sequential change detection for fractional diffusion-type processes
- Drawdowns preceding rallies in the Brownian motion model
- Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
- Asymptotic independence of three statistics of maximal segmental scores
- Quality control for structural credit risk models
- CUSUM control charts for monitoring optimal portfolio weights
- Sequential change detection revisited
- Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
- On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
- Compound Poisson disorder problems with nonlinear detection delay penalty cost functions
- Properties and Use of the Shewhart Method and Its Followers
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
- Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
- Probability density function of the local score position
- Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
- Bayesian quickest detection in sensor arrays
- From Disorder Detection to Optimal Stopping and Mathematical Finance
- Decision theoretic optimality of the cusum procedure
- Byzantine Fault Tolerant Distributed Quickest Change Detection
- Discussion on ``Quickest detection problems: fifty years later by Albert N. Shiryaev
- Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
- A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems
- Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
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