Study of characteristics of the CUSUM procedure in a change point problem

DOI10.33048/SEMI.2023.20.060MaRDI QIDQ6587432zbMATH OpenFDO

Authors V. I. Lotov, Anton Sergeevich Tarasenko

Publication date 14 August 2024

Published in Sibirskie Elektronnye Matematicheskie Izvestiya (Search for Journal in Brave)

zbMATH Keywords

probabilistic inequalitieschange point problemCUSUM procedurerandom walk with delay at origin

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3500818 (Why is no real title available?)
• Asymptotic expansions for the CUSUM procedure in a change point problem
• Average run lengths of an optimal method of detecting a change in distribution
• Bounds for the probability to leave the interval
• CONTINUOUS INSPECTION SCHEMES
• On Excess Over the Boundary
• On Optimum Methods in Quickest Detection Problems
• On Random Walks in a Strip
• On some inequalities in boundary crossing problems for random walks
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• Procedures for Reacting to a Change in Distribution
• Sequential analysis. Tests and confidence intervals

Cited in

(1)

• A series expansion formula of the scale matrix with applications in CUSUM analysis

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