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A numerical approach to performance analysis of quickest change-point detection procedures

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References

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1986Optimal Stopping Times for Detecting Changes in Distributions1,022 cited
1963On Optimum Methods in Quickest Detection Problems839 cited
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1982Fast Initial Response for CUSUM Quality-Control Schemes: Give Your CUSUM A Head Start310 cited
1990Decision Theoretic Optimality of the Cusum Procedure221 cited
2005Detection of intrusions in information systems by sequential change-point methods188 cited
1985A Diffusion Process and Its Applications to Detecting a Change in the Drift of Brownian Motion174 cited

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1987Average Run Lengths of an Optimal Method of Detecting a Change in Distribution172 cited

Cited by

2012Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures63 cited
2010State-of-the-Art in Bayesian Changepoint Detection54 cited
2009Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions49 cited
2018Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models43 cited
2016The Case Against the Use of Synthetic Control Charts40 cited
2017On Asymptotic Optimality in Sequential Changepoint Detection: Non-iid Case39 cited
2012Nearly Optimal Change-Point Detection with an Application to Cybersecurity28 cited
2016Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data27 cited
2014Optimal Design and Analysis of the Exponentially Weighted Moving Average Chart for Exponential Data19 cited
2013Directional change‐point detection for process control with multivariate categorical data18 cited
2013Quickest Change-Point Detection: A Bird's Eye View16 cited
2014An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure14 cited
2011An adaptive Shiryaev-Roberts procedure for monitoring dispersion12 cited
2017On the quasi-stationary distribution of the Shiryaev–Roberts diffusion12 cited
2017Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time12 cited
2024A self-supervised contrastive change point detection method for industrial time series11 cited