Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén

DOI10.1080/07474940903041704MaRDI QIDQ5897002zbMATH OpenOpenAlexFDO

Authors Alexander G. Tartakovsky

Publication date 18 September 2009

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474940903041704

zbMATH Keywords

change-point detectionCUSUMfalse alarm rateEWMAaverage run length to false alarmaverage detection delayShiryaev-Roberts

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• General Asymptotic Bayesian Theory of Quickest Change Detection
• Information bounds and quick detection of parameter changes in stochastic systems
• On Optimum Methods in Quickest Detection Problems
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution
• SPRT and CUSUM in hidden Markov models

Cited in

(10)

• Real-time financial surveillance via quickest change-point detection methods
• Discussion on “Optimal Sequential Surveillance for Finance Public Health, and Other Areas” by Marianne Frisén
• Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
• Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
• Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
• Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
• Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
• State-of-the-art in sequential change-point detection
• On detection of a change in the dynamics of rare health events
• Optimal Sequential Surveillance for Finance, Public Health, and Other Areas

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