A numerical approach to performance analysis of quickest change-point detection procedures
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Publication:2999741
DOI10.5705/SS.2011.026AzbMATH Open1214.62084arXiv0907.3521OpenAlexW2124196232MaRDI QIDQ2999741FDOQ2999741
Authors: Aleksey S. Polunchenko, Alexander G. Tartakovsky, George V. Moustakides 
Publication date: 16 May 2011
Published in: STATISTICA SINICA (Search for Journal in Brave)
Abstract: For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics, including average detection delay and average time to false alarm. We pay special attention to the Shiryaev-Roberts procedure and evaluate its performance for various initialization strategies. Regarding the randomized initialization variant proposed by Pollak, known to be asymptotically optimal of order-3, we offer a means for numerically computing the quasi-stationary distribution of the Shiryaev-Roberts statistic that is the distribution of the initializing random variable, thus making this test applicable in practice. A significant side-product of our computational technique is the observation that deterministic initializations of the Shiryaev-Roberts procedure can also enjoy the same order-3 optimality property as Pollak's randomized test and, after careful selection, even uniformly outperform it.
Full work available at URL: https://arxiv.org/abs/0907.3521
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Cited In (25)
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- On the first exit time of a nonnegative Markov process started at a quasistationary distribution
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- On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
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- A Binning Approach to Quickest Change Detection With Unknown Post-Change Distribution
- Change detection for uncertain autoregressive dynamic models through nonparametric estimation
- Quickest change point detection with multiple postchange models
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