A note on the run length of false alarm of a change-point detection policy

DOI10.1214/AOS/1176324467zbMATH Open0828.62072OpenAlexW2049285393MaRDI QIDQ1895359FDOQ1895359

Authors: B. Yakir 

Publication date: 2 January 1996

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

Full work available at URL: https://doi.org/10.1214/aos/1176324467

Recommendations

• Practical aspects of false alarm control for change point detection: beyond average run length
• An exact formula for the average run length to false alarm of the generalized Shiryaev-Roberts procedure for change-point detection under exponential observations
• Average run length to false alarm for surveillance schemes designed with partially specified pre-change distribution
• A lower bound on the ARL to detection of a change with a probability constraint on false alarm
• On the average run length to false alarm in surveillance problems which possess an invariance structure
• False Alarms and Sparse Change Segment Detection by Using a CUSUM Procedure

zbMATH Keywords

renewal theorynew prooflattice caseaverage run length to false alarmmixed-type Shiryayev-Roberts schemeShiryayev-Roberts change- point detection policy

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

Cited In (17)

• On the average run length to false alarm in surveillance problems which possess an invariance structure
• Sequential detection framework for real-time biosurveillance based on Shiryaev-Roberts procedure with illustrations using COVID-19 incidence data
• Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
• Sequential detection of transient signal by moving likelihood ratio statistic in an exponential family
• An exact formula for the average run length to false alarm of the generalized Shiryaev-Roberts procedure for change-point detection under exponential observations
• Guaranteed testing for epidemic changes of a linear regression model
• A rule of thumb: run lengths to false alarm of many types of control charts run in parallel on dependent streams are asymptotically independent
• Nonanticipating estimation applied to sequential analysis and changepoint detection
• Discussion on ``Sequential detection/isolation of abrupt changes by Igor V. Nikiforov
• A New Chart for Detecting the Process Mean and Variability
• Martingale Type Statistics Applied to Change Points Detection
• Tail approximations for maxima of random fields by likelihood ratio transformations
• Minimax optimality of the Shiryayev-Roberts change-point detection rule
• An extension of a change-point problem
• A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations
• Detecting an intermittent change of unknown duration
• A lower bound on the ARL to detection of a change with a probability constraint on false alarm

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