A Small Sample Size Comparison of the Cusum and Shiryayev-Roberts Approaches: Changepoint Detection

DOI10.1080/01966324.1991.10737312zbMATH Open0800.62503OpenAlexW2320448191WikidataQ58152667 ScholiaQ58152667MaRDI QIDQ3136528FDOQ3136528

Authors: Yaakov Mevorach, Moshe Pollak 

Publication date: 18 October 1993

Published in: American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01966324.1991.10737312

Mathematics Subject Classification ID

Sequential statistical methods (62L99) Optimal stopping in statistics (62L15)

Cites Work

• Optimal stopping times for detecting changes in distributions
• Optimal detection of a change in distribution
• On Optimum Methods in Quickest Detection Problems
• Title not available (Why is that?)
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes

Cited In (8)

• Steady-state average run length(s): Methodology, formulas, and numerics
• An accurate method for determining the pre-change run length distribution of the generalized Shiryaev-Roberts detection procedure
• State-of-the-art in sequential change-point detection
• Evaluations of likelihood ratio methods for surveillance.
• Performance comparison of some likelihood ratio-based statistical surveillance methods
• Surveillance to detect emerging space-time clusters
• Statistical Surveillance. Optimality and Methods
• Change-point problems: bibliography and review

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