A NUMERICAL APPROACH TO PERFORMANCE ANALYSIS OF QUICKEST CHANGE-POINT DETECTION PROCEDURES
A NUMERICAL APPROACH TO PERFORMANCE ANALYSIS OF QUICKEST CHANGE-POINT DETECTION PROCEDURES
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Publisher
Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association
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Language
English
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Publisher
Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association
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Contents
For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics, including average detection delay and average time to false alarm. We pay special attention to the Shiryaev-Roberts procedure and evaluate...
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Full title
A NUMERICAL APPROACH TO PERFORMANCE ANALYSIS OF QUICKEST CHANGE-POINT DETECTION PROCEDURES
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Record Identifier
TN_cdi_crossref_primary_10_5705_ss_2011_026a
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_5705_ss_2011_026a
Other Identifiers
ISSN
1017-0405
E-ISSN
1996-8507
DOI
10.5705/ss.2011.026a
