Optimality of the CUSUM procedure in continuous time
By George V. Moustakides. 2003
103 citations recorded by the source corpus.
Subfields: Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/728e1691c4f51a64a522308d891949992ec9c59d
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In Statistics and Probability
- Yajun Mei
- Kwok Leung Tsui
- Sung Won Han
- Alexander G. Tartakovsky
- Holger Dette
- Dominik Wied
- V. Moustakides
- Olympia Hadjiliadis
Citations in the corpus
- Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model with Multiple Alternatives (2006, methodology): “The desired formula follows by noticing that y0 = 0 and for the CUSUM stopping time we have yτc = ν (for more details see also [8]).”
- Detecting relevant changes in time series models (2014, methodology): “and the constants bi, the σ-fields Fk and the non-linear filters Gi appear in the definition of the piecewise locally stationary .ei/i∈Z (see Zhou (2013)). From this result an analogue of theorem 1 could be derived. However, the asymptotic variance depends in a complicated way on the covariance kern”
- SEQUENTIAL CHANGE DETECTION REVISITED (2008, methodology): “…detecting a change in the drift of a BM has been considered with the classical Lorden measure (where occurrences are not taken into account, therefore the change is assumed to happen at any time instant) by Shiryayev (1996) and Beibel (1996) and under a more general framework by Moustakides (2004).”
- EARLY DETECTION OF A CHANGE IN POISSON RATE AFTER ACCOUNTING FOR POPULATION SIZE EFFECTS (2011, methodology): “It is interesting to see that in our context, these alternative criteria are just the so-called Kullback-Leibler divergence criteria in Moustakides (2004), which proves that the GLR scheme is (exactly) optimal in detecting changes in the drift of a Brownian motion.”
- Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models (2006, background): “case (see, e.g., Bansal and Papantoni-Kazakos, 1986; Beibel, 2000; Davis et al., 1995; Fuh, 2003, 2004; Lai, 1998; Moustakides, 2004; Tartakovsky, 1995, 1998c; Yakir, 1994).”