Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
From MaRDI portal
Publication:3396404
DOI10.1080/07474940903041605zbMath1170.62059MaRDI QIDQ3396404
Publication date: 18 September 2009
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474940903041605
likelihood ratio; monitoring; change point; on-line detection; multivariate surveillance; minimum expected delay
62L99: Sequential statistical methods
62C99: Statistical decision theory
62L15: Optimal stopping in statistics
62Pxx: Applications of statistics
Related Items
The optimized CUSUM and EWMA multi-charts for jointly detecting a range of mean and variance change, Optimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation Sequences, Sequential algorithms for moving anomaly detection in networks, Multivariate outbreak detection, Accurate Tests and Intervals Based on Multivariate CUSUM Statistics, Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev, Control charts for the Pareto distribution, Adaptive threshold computation for CUSUM-type procedures in change detection and isolation problems, ARL estimation of the control chart of log likelihood ratios' sum for Markov sequence, Shewhart’s Idea of Predictability and Modern Statistics, Asymptotic optimized CUSUM and EWMA multi-charts for jointly detecting and diagnosing unknown change, Semiparametric Surveillance of Monotonic Changes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
- Computation of the ARL for CUSUM-\(S^2\) schemes
- Optimal stopping times for detecting changes in distributions
- Approximations to the expected sample size of certain sequential tests
- Quickest detection with exponential penalty for delay
- CUSUM control schemes for Gaussian processes
- Some properties of the EWMA control chart in the presence of autocorrelation
- A note on sequential detection with exponential penalty for the delay.
- Statistical Surveillance of the Parameters of a One-Factor Cox–Ingersoll–Ross Model
- Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
- Optimal Surveillance Based on Exponentially Weighted Moving Averages
- Surveillance in Longitudinal Models: Detection of Intrauterine Growth Restriction
- Properties and Use of the Shewhart Method and Its Followers
- Monitoring cyclical processes. A non-parametric approach
- Evaluations of some Exponentially Weighted Moving Average methods
- Some statistical aspects of methods for detection of turning points in business cycles
- Modeling influenza incidence for the purpose of on-line monitoring
- Effect of Dependency in Systems for Multivariate Surveillance
- A diffusion process and its applications to detecting a change in the drift of Brownian motion
- Counted Data CUSUM's
- Average Run Lengths for CUSUM Schemes When Observations Are Exponentially Distributed
- Multivariate Generalizations of Cumulative Sum Quality-Control Schemes
- Optimal surveillance
- A Multivariate Exponentially Weighted Moving Average Control Chart
- Performance of CUSUM Control Schemes for Serially Correlated Observations
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes
- Surveillance of a Simple Linear Regression
- Monitoring the mean and the variance of a stationary process
- Efficient recursive algorithms for detection of abrupt changes in signals and control systems
- Information bounds and quick detection of parameter changes in stochastic systems
- Prospective Time Periodic Geographical Disease Surveillance Using a Scan Statistic
- Statistical Surveillance. Optimality and Methods
- Monitoring Structural Change
- Detection and Diagnosis of Unknown Abrupt Changes Using CUSUM Multi-Chart Schemes
- Accurate ARL Calculation for EWMA Control Charts Monitoring Normal Mean and Variance Simultaneously
- Multivariate Control Charts for Monitoring the Process Mean and Variability Using Sequential Sampling
- Financial Surveillance
- Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
- Procedures for Reacting to a Change in Distribution
- A Reference-Free Cuscore Chart for Dynamic Mean Change Detection and a Unified Framework for Charting Performance Comparison
- CONTINUOUS INSPECTION SCHEMES
- Statistics of financial markets. An introduction.
