Work

Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures

Year: 2012

Type: article

Abstract: Several variations of the Shiryaev--Roberts detection procedure in the context of the simple changepoint problem are considered: starting the procedure at $R_0=0$ (the original Shiryaev--Roberts procedure), at $R_0=r$ for fixed $r>0$, and at $R_0$ that has the quasi-stationary distribution. Comparisons of operating characteristics are made. The differences fade as the average run length to false alarm tends to infinity. It is shown that the Shiryaev--Roberts procedures that start either from a specially designed point $r$ or from the random “quasi-stationary” point are third-order asymptotically optimal.

Source: Theory of Probability and Its Applications

DOI: 10.1137/s0040585x97985534

Authors: A. G. Tartakovsky, M. Pollak, A. S. Polunchenko

Language: English

Topic: Advanced Statistical Process Monitoring

Subfield: Statistics, Probability and Uncertainty

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, University of Southern California, Hebrew University of Jerusalem, Defense Threat Reduction Agency, U.S. Air Force, Multidisciplinary University Research Initiative, Division of Emerging Frontiers in Research and Innovation, Army Research Office

Awards: Collaborative Research: Optimal Changepoint Detection and Identification Algorithms with Applications, Stochastic Prediction for the Design and Management of Interacting Complex Systems, G6541015203, G7090116110, G7452299184, G7741864895

OpenAlex ID: W2003177027

FWCI: 8.036

Cites: 12

Cited by: 63

Related to: 10