An exact formula for the average run length to false alarm of the generalized Shiryaev-Roberts procedure for change-point detection under exponential observations

DOI10.1007/978-3-319-13881-7_7MaRDI QIDQ2833359zbMATH OpenOpenAlexFDO

Authors Wenyu du, Grigory Sokolov, Aleksey S. Polunchenko

Publication date 18 November 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.6937

zbMATH Keywords

change-point detectionaverage run lengthcontrol chartsexact formulafalse alarmARLgeneralized Shiryaev-Roberts (GSR)

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Reliability and life testing (62N05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Abstract: We derive analytically an exact closed-form formula for the standard minimax Average Run Length (ARL) to false alarm delivered by the Generalized Shiryaev-Roberts (GSR) change-point detection procedure devised to detect a shift in the baseline mean of a sequence of independent exponentially distributed observations. Specifically, the formula is found through direct solution of the respective integral (renewal) equation, and is a general result in that the GSR procedure's headstart is not restricted to a bounded range, nor is there a "ceiling" value for the detection threshold. Apart from the theoretical significance (in change-point detection, exact closed-form performance formulae are typically either difficult or impossible to get, especially for the GSR procedure), the obtained formula is also useful to a practitioner: in cases of practical interest, the formula is a function linear in both the detection threshold and the headstart, and, therefore, the ARL to false alarm of the GSR procedure can be easily computed.

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• Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup

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