Quickest detection with exponential penalty for delay
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- Quickest detection of an abrupt change in a random sequence with finite change-time
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Cites work
- A note on Ritov's Bayes approach to the minimax property of the cusum procedure
- A stopped Brownian motion formula
- An extension of a lemma of Wald
- Conditional boundary crossing probabilities, with application to change- point problems
- CONTINUOUS INSPECTION SCHEMES
- Decision theoretic optimality of the cusum procedure
- Dynamic sampling policy for detecting a change in distribution, with a probability bound on false alarm
- Formulas for stopped diffusion processes with stopping times based on the maximum
- scientific article; zbMATH DE number 3538599 (Why is no real title available?)
- scientific article; zbMATH DE number 3607222 (Why is no real title available?)
- scientific article; zbMATH DE number 1057570 (Why is no real title available?)
- scientific article; zbMATH DE number 1487502 (Why is no real title available?)
- scientific article; zbMATH DE number 1487638 (Why is no real title available?)
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- Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift
- On a generalized disorder problem
- On Optimum Methods in Quickest Detection Problems
- Optimal stopping times for detecting changes in distributions
- Optimal Stopping When the Future is Discounted
- Procedures for Reacting to a Change in Distribution
- Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses
- Some martingales related to cumulative sum tests and single-server queues
- The general discrete time disorder problem
- Wald's approximations to the average run length in cusum procedures
Cited in
(31)- Change-point detection for Lévy processes
- A note on sequential detection with exponential penalty for the delay.
- Optimality of the CUSUM procedure in continuous time.
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- The disorder problem for purely jump Lévy processes with completely monotone jumps
- Sequential change detection revisited
- Optimality of Non-Restarting CUSUM Charts
- Bayesian switching multiple disorder problems
- Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
- Optimal Surveillance Based on Exponentially Weighted Moving Averages
- Detection of disorder before an observable event
- Properties and Use of the Shewhart Method and Its Followers
- Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
- Is Average Run Length to False Alarm Always an Informative Criterion?
- A lower bound for the detection/isolation delay in a class of sequential tests
- Compound Poisson disorder problems with nonlinear detection delay penalty cost functions
- Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
- On the reaction time of moving sum detectors
- Detecting changes in real-time data: a user's guide to optimal detection
- Quickest detection of an abrupt change in a random sequence with finite change-time
- Bayesian quickest detection problems for some diffusion processes
- Asymptotically Optimal Solutions in the Change-Point Problem
- Data-efficient quickest change detection with on-off observation control
- Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
- Multiple optimality properties of the Shewhart test
- Finite horizon sequential detection with exponential penalty for the delay
- Bayesian quickest detection of credit card fraud
- Model misspecification in discrete time Bayesian online change detection
- Surveillance for endemic infectious disease outbreaks: adaptive sampling using profile likelihood estimation
- Compound Poisson disorder problem with general disorder prior density
- On the Wiener disorder problem
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