State-of-the-art in sequential change-point detection
DOI10.1007/S11009-011-9256-5OpenAlexW2140456136MaRDI QIDQ1930617FDOQ1930617
Authors: Aleksey S. Polunchenko, Alexander G. Tartakovsky
Publication date: 11 January 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.2938
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sequential analysisShiryaev-Roberts procedureCUSUM chartsequential change-point detectionquickest change detectionShiryaev-Roberts-\(r\) procedureShiryaev-Roberts-Pollak procedureShiryaev's procedure
Bayesian inference (62F15) Sequential statistical analysis (62L10) Minimax procedures in statistical decision theory (62C20) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (36)
- Adaptive Change Point Monitoring for High-Dimensional Data
- On-line change-point detection (for state space models) using multi-process Kalman filters
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- Efficient performance evaluation of the generalized Shiryaev-Roberts detection procedure in a multi-cyclic setup
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- Discussion on ``Change-points: from sequential detection to biology and back by David Siegmund
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