Asymptotic properties of CUSUM and Shiryaev's procedures for detecting a change in a nonhomogeneous Gaussian process
zbMATH Open0852.62070MaRDI QIDQ1909013FDOQ1909013
Authors: Alexander G. Tartakovsky 
Publication date: 7 March 1996
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
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- scientific article; zbMATH DE number 418928
change pointinequalitiescontinuous timerelative efficiencyasymptotic approximationsoperating characteristicsmean time to false alarmrate of false alarmsasymptotic power nonhomogeneityaverage detection delayGaussian nonhomogeneous processnonrandom functionsequential detection procedures
Inference from stochastic processes (62M99) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02) Optimal stopping in statistics (62L15)
Cited In (13)
- Change-level detection for Lévy subordinators
- A Bayesian View on Detecting Drifts by Nonparametric Methods
- Change-point detection for Lévy processes
- Optimal change point detection in Gaussian processes
- Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
- Optimality of the CUSUM procedure in continuous time.
- Sequential detection of gradual changes in the location of a general stochastic process
- On the sequential testing and quickest change-point detection problems for Gaussian processes
- Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
- Detection of intrusions in information systems by sequential change-point methods
- Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
- Detecting the emergence of a signal in a noisy image
- Change-point detection in binomial thinning processes, with applications in epidemiology
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