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Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
12 references·6 citing·32 second hop
Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei (2008)Discussion on “Is Average Run Length to F…Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection (2009)Asymptotic Exponentiality of …On Optimality Properties of the Shiryaev-Roberts Procedure (2007)On Optimality Properties of t…Asymptotic Performance of a Multichart CUSUM Test Under False Alarm Probability Constraint (2006)Asymptotic Performance of a M…Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models (2006)Asymptotic Optimality of Chan…General Asymptotic Bayesian Theory of Quickest Change Detection (2005)General Asymptotic Bayesian T…Optimality of the CUSUM procedure in continuous time (2004)Optimality of the CUSUM proce…Asymptotic operating characteristics of an optimal change point detection in hidden Markov models (2004)Asymptotic operating characte…SPRT and CUSUM in hidden Markov models (2003)SPRT and CUSUM in hidden Mark…Asymptotic Operating Characteristics of an Optimal Change Point Detection in Hidden Markov Models (2003)Asymptotic Operating Characte…Information bounds and quick detection of parameter changes in stochastic systems (1998)Information bounds and quick …Sequential Analysis (1985)Sequential AnalysisOn Optimum Methods in Quickest Detection Problems (1963)On Optimum Methods in Quickes…Quickest Change Detection With Non-Stationary Post-Change Observations (2022)Quickest Change Detection Wit…A Comparison of Shewhart-Type Time-Between-Events Control Charts Based on the Renewal Process (2020)A Comparison of Shewhart-Type…Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis (2019)Asymptotically optimal pointw…Detecting changes in real-time data: a user’s guide to optimal detection (2017)Detecting changes in real-tim…An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure (2014)An Accurate Method for Determ…Quickest Change-Point Detection: A Bird's Eye View (2013)Quickest Change-Point Detecti…CONTINUOUS INSPECTION SCHEMES (1954)Procedures for Reacting to a Change in Distribution (1971)Optimal Stopping Times for Detecting Changes in Distributions (1986)State-of-the-Art in Bayesian Changepoint Detection (2010)A numerical approach to performance analysis of quickest change-point detection procedures (2011)Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures (2012)Detection of Abrupt Changes: Theory and Applications. (1995)Detection of intrusions in information systems by sequential change-point methods (2005)Quickest Change Detection (2014)Sequential (Quickest) Change Detection: Classical Results and New Directions (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On efficient CUSUM-type location control charts using auxiliary information (2017)The Limits of p ‐Hacking: Some Thought Experiments (2021)Theory of Games and Statistical Decisions. (1955)Detecting changes in signals and systems—A survey (1988)Sequential Changepoint Detection in Quality Control and Dynamical Systems (1995)Some Current Directions in the Theory and Application of Statistical Process Monitoring (2014)Stochastic Differential Equations: An Introduction with Applications. (1987)Brownian Motion and Stochastic Calculus (2007)Social Network Change Detection (2008)Quickest Detection Problems: Fifty Years Later (2010)Point Processes and Queues: Martingale Dynamics. (1983)First passage times of a jump diffusion process (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)A Re-Evaluation of Fixed Effect(s) Meta-Analysis (2017)Piecewise-stationary bandit problems with side observations (2009)Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models (2015)Is Average Run Length to False Alarm Always an Informative Criterion? (2008)Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions (2009)Sequential Change-Point Detection When the Pre- and Post-Change Parameters are Unknown (2010)A Binning Approach to Quickest Change Detection With Unknown Post-Change Distribution (2018)
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References

  • 1963On Optimum Methods in Quickest Detection Problems839 cited
  • 1985Sequential Analysis781 cited
  • 1998Information bounds and quick detection of parameter changes in stochastic systems432 cited
  • 2005General Asymptotic Bayesian Theory of Quickest Change Detection224 cited
  • 2003SPRT and CUSUM in hidden Markov models103 cited
  • 2004Optimality of the CUSUM procedure in continuous time90 cited
  • 2007On Optimality Properties of the Shiryaev-Roberts Procedure70 cited
  • 2006Asymptotic Performance of a Multichart CUSUM Test Under False Alarm Probability Constraint63 cited
  • 2003Asymptotic Operating Characteristics of an Optimal Change Point Detection in Hidden Markov Models49 cited
  • 2004Asymptotic operating characteristics of an optimal change point detection in hidden Markov models46 cited
  • 2006Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models44 cited
  • 2009Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection29 cited

Cited by

  • 2017Detecting changes in real-time data: a user’s guide to optimal detection19 cited
  • 2013Quickest Change-Point Detection: A Bird's Eye View16 cited

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  • 2022Quickest Change Detection With Non-Stationary Post-Change Observations15 cited
  • 2014An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure14 cited
  • 2019Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis12 cited
  • 2020A Comparison of Shewhart-Type Time-Between-Events Control Charts Based on the Renewal Process11 cited