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

DOI10.33048/SEMI.2023.20.060zbMATH Open1544.60047MaRDI QIDQ6587432FDOQ6587432

Authors: V. I. Lotov, Anton Sergeevich Tarasenko 

Publication date: 14 August 2024

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

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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)

Cites Work

• Sequential analysis. Tests and confidence intervals
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES
• On Optimum Methods in Quickest Detection Problems
• Title not available (Why is that?)
• On some inequalities in boundary crossing problems for random walks
• On Excess Over the Boundary
• On Random Walks in a Strip
• Probability theory. Edited by K. A. Borovkov. Transl. from the Russian by O. Borovkova and P. S. Ruzankin
• Average run lengths of an optimal method of detecting a change in distribution
• Bounds for the probability to leave the interval
• Asymptotic expansions for the CUSUM procedure in a change point problem

Cited In (1)

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

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