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Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
1 references·16 citing·31 second hop
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References

  • 1994Change-point problems146 cited

Cited by

  • 2007On Optimality Properties of the Shiryaev-Roberts Procedure70 cited
  • 2011A numerical approach to performance analysis of quickest change-point detection procedures69 cited
  • 2008Social Network Change Detection69 cited
  • 2006Asymptotic Performance of a Multichart CUSUM Test Under False Alarm Probability Constraint63 cited
  • 2008Sequential change detection revisited61 cited
  • 2006Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings55 cited
  • 2006Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model with Multiple Alternatives44 cited
  • 2006Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models44 cited
  • 2006Drawdowns preceding rallies in the Brownian motion model42 cited
  • 2015Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions42 cited
  • 2008Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems35 cited
  • 2009On Stochastic Models and Optimal Methods in the Quickest Detection Problems28 cited
  • 2009Asymptotic Optimality in Bayesian Changepoint Detection Problems under Global False Alarm Probability Constraint

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25 cited
  • 2007Properties and Use of the Shewhart Method and Its Followers23 cited
  • 2015Byzantine Fault Tolerant Distributed Quickest Change Detection22 cited
  • 2005Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model19 cited