Abstract
We provide a brief overview of the state-of-the-art in quickest (sequential) changepoint detection and present some new results on asymptotic and numerical analysis of main competitors such as the CUSUM, Shiryaev–Roberts, and Shiryaev detection procedures in a Bayesian context.
ACKNOWLEDGMENTS
This work was supported in part by the U.S. Army Research Office MURI grant W911NF-06-1-0094 and by the U.S. National Science Foundation grant CCF-0830419 at the University of Southern California. We thank Greg Sokolov for performing numerical computations.
Notes
Recommended by Nitis Mukhopadhyay