A note on the run length of false alarm of a change-point detection policy
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Publication:1895359
DOI10.1214/aos/1176324467zbMath0828.62072OpenAlexW2049285393MaRDI QIDQ1895359
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
renewal theorynew prooflattice caseaverage run length to false alarmmixed-type Shiryayev-Roberts schemeShiryayev-Roberts change- point detection policy
Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)
Related Items (14)
A rule of thumb: run lengths to false alarm of many types of control charts run in parallel on dependent streams are asymptotically independent ⋮ Detecting an intermittent change of unknown duration ⋮ Minimax optimality of the Shiryayev-Roberts change-point detection rule ⋮ A New Chart for Detecting the Process Mean and Variability ⋮ Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis ⋮ Tail Approximations for Maxima of Random Fields by Likelihood Ratio Transformations ⋮ Guaranteed testing for epidemic changes of a linear regression model ⋮ Discussion on “Sequential detection/isolation of abrupt changes” by Igor V. Nikiforov ⋮ Sequential detection framework for real-time biosurveillance based on Shiryaev-Roberts procedure with illustrations using COVID-19 incidence data ⋮ On the average run length to false alarm in surveillance problems which possess an invariance structure ⋮ Martingale Type Statistics Applied to Change Points Detection ⋮ An extension of a change-point problem ⋮ A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations ⋮ Nonanticipating estimation applied to sequential analysis and changepoint detection
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