A diffusion process and its applications to detecting a change in the drift of Brownian motion

DOI10.1093/biomet/72.2.267zbMath0571.60084OpenAlexW2039444550MaRDI QIDQ3687467

Moshe Pollak, David O. Siegmund

Publication date: 1985

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/72.2.267

zbMATH Keywords

sequential detectionchange of drift of a diffusion process

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Diffusion processes (60J60) Sequential statistical analysis (62L10)

Related Items (64)

Properties and Use of the Shewhart Method and Its Followers ⋮ High moments of two optimal rules of detecting a change in distributions ⋮ Cusum procedure for monitoring variability ⋮ Detecting Abrupt Changes by Wavelet Methods ⋮ Discord Detection For A Process With A Predefined Interval Of Observations ⋮ Dynamic sampling plans in on‐line control charts ⋮ Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ Optimal changepoint tests for normal linear regression ⋮ A combined SR-CUSUM procedure for detecting common changes in panel data ⋮ Asymptotically optimal ditiction of a change in a linear model ⋮ A less sensitive linear detector for the change point based on kernel smoothing method ⋮ Statistical Surveillance. Optimality and Methods ⋮ Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ A simple and effective scanning rule for a multi-channel system ⋮ A lower confidence bound for the change point after a sequential CUSUM test ⋮ Approximations for the distribution of perpetuities with small discount rates ⋮ Limit theorems for discounted convergent perpetuities. II ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Derivation of explicit formulae for performance measures of CUSUM control chart for SMA(Q)\(_s\) model with exponential white noise ⋮ On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes ⋮ On solutions to Itô stochastic differential equations ⋮ Asymptotics of the run lengths of two control charts ⋮ Efficient rare-event simulation for perpetuities ⋮ From Sturm-Liouville problems to fractional and anomalous diffusions ⋮ Linear statistics in change‐point estimation and their asymptotic behaviour ⋮ Multiresolution anomaly detection method for fractional Gaussian noise ⋮ A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line ⋮ Performance comparison of some likelihood ratio-based statistical surveillance methods ⋮ Control charts applying a general sequential test at each sampling point ⋮ On the quasi-stationary distribution of the Shiryaev–Roberts diffusion ⋮ Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data ⋮ First passage times for Slepian process with linear and piecewise linear barriers ⋮ Sequential Common Change Detection and Isolation of Changed Panels in Panel Data ⋮ New characteristics for portfolio surveillance ⋮ ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL ⋮ A neural network approach for the real-time detection of faults ⋮ Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval ⋮ Surveillance to detect emerging space-time clusters ⋮ From Disorder Detection to Optimal Stopping and Mathematical Finance ⋮ Optimal speed of detection in generalized Wiener disorder problems. ⋮ On the biases of change point and change magnitude estimation after CUSUM test ⋮ Sequential change-point detection when unknown parameters are present in the pre-change distribution ⋮ CUSUM control charts for monitoring optimal portfolio weights ⋮ Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test ⋮ On the Wiener disorder problem ⋮ Sequential Change-Point Detection and Estimation ⋮ Quickest Detection Problems: Fifty Years Later ⋮ Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup ⋮ On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion ⋮ Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev ⋮ An Adaptive Shiryaev–Roberts Procedure for Signalling Varying Location Shifts ⋮ Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model ⋮ Optimal Sequential Surveillance for Finance, Public Health, and Other Areas ⋮ Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei ⋮ Change-point problems: bibliography and review ⋮ Detecting a change in regression: First-order optimality ⋮ Evaluations of likelihood ratio methods for surveillance. ⋮ Detection of disorder before an observable event ⋮ A Small Sample Size Comparison of the Cusum and Shiryayev-Roberts Approaches: Changepoint Detection ⋮ Detection and Diagnosis of Distribution Changes of Degree Ratio in Complex Networks ⋮ On robustness of the Shiryaev–Roberts change-point detection procedure under parameter misspecification in the post-change distribution

This page was built for publication: A diffusion process and its applications to detecting a change in the drift of Brownian motion