A numerical approach to performance analysis of quickest change-point detection procedures
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Publication:2999741
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.
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Cited in
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- Integral equation methods in change-point detection problems
- Quickest detection of an accumulated state-dependent change point
- Surveillance of non-stationary processes
- Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
- Efficient performance evaluation of the generalized Shiryaev-Roberts detection procedure in a multi-cyclic setup
- Discussion on ``Change-points: from sequential detection to biology and back by David Siegmund
- An accurate method for determining the pre-change run length distribution of the generalized Shiryaev-Roberts detection procedure
- An exact formula for the average run length to false alarm of the generalized Shiryaev-Roberts procedure for change-point detection under exponential observations
- Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup
- On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
- An adaptive Shiryaev-Roberts procedure for signalling varying location shifts
- Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
- State-of-the-art in sequential change-point detection
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
- On the first exit time of a nonnegative Markov process started at a quasistationary distribution
- Multidecision Quickest Change-Point Detection: Previous Achievements and Open Problems
- On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
- On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution
- From Disorder Detection to Optimal Stopping and Mathematical Finance
- Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
- A Binning Approach to Quickest Change Detection With Unknown Post-Change Distribution
- Detecting an intermittent change of unknown duration
- Change detection for uncertain autoregressive dynamic models through nonparametric estimation
- Quickest change point detection with multiple postchange models
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