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

DOI10.1080/01966324.1991.10737312MaRDI QIDQ3136528zbMATH OpenOpenAlexWikidataFDO

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

• scientific article; zbMATH DE number 3190745 (Why is no real title available?)
• 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
• On Optimum Methods in Quickest Detection Problems
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions

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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