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

DOI10.1080/01966324.1991.10737312zbMath0800.62503OpenAlexW2320448191WikidataQ58152667 ScholiaQ58152667MaRDI QIDQ3136528

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)

Related Items (8)

Statistical Surveillance. Optimality and Methods ⋮ State-of-the-art in sequential change-point detection ⋮ Performance comparison of some likelihood ratio-based statistical surveillance methods ⋮ An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure ⋮ Surveillance to detect emerging space-time clusters ⋮ Change-point problems: bibliography and review ⋮ Evaluations of likelihood ratio methods for surveillance. ⋮ Steady-state average run length(s): Methodology, formulas, and numerics

Cites Work

• Unnamed Item
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• 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

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