Publication Cover
Sequential Analysis
Design Methods and Applications
Volume 36, 2017 - Issue 3
80
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion

&
Pages 355-369 | Received 21 Oct 2016, Accepted 02 Mar 2017, Published online: 25 Sep 2017

References

  • Abramowitz, M. and Stegun, I. A. (1965). Handbook of Mathematical Functions, New York: Dover.
  • Boyd, S. and Vandenberghe, L. (2004). Convex Optimization, Cambridge: Cambridge University Press.
  • Moustakides, G. V. (2008). Sequential Change Detection Revisited, Annals of Statitics 36: 787–807.
  • Moustakides, G. V. (2014). Multiple Optimality Properties of the Shewhart Test, Sequential Analysis 33: 318–344.
  • Moustakides, G. V., Polunchenko, A. S., and Tartakovsky, A. G. (2011). A Numerical Approach to Performance Analysis of Quickest Change-Point Detection Procedures, Statistica Sinica 21: 571–596.
  • Peskir, G. and Shiryaev, A. (2006). Optimal Stopping and Free-Boundary Problems, Basel: Birkhäuser.
  • Pollak, M. (1985). Optimal Detection of a Change in Distribution, Annals of Statistics 13: 206–227.
  • Polunchenko, S. (2017). Asymptotic Near-Minimaxity of the Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time. Theory of Probability and Its Applications 62: 4.
  • Polunchenko, S. and Tartakovsky, A. G. (2010). On Optimality of the Shiryaev-Roberts Procedure for Detecting a Change in Distribution, Annals of Statistics 38: 3445–3457.
  • Rogers, L. C. G. and Williams, D. (2000). Diffusions, Markov Processes, and Martingales: Volume 2. Itô Calculus, Cambridge: Cambridge University Press.
  • Shiryaev, A. N. (1963). On Optimal Methods in Quickest Detection Problems, Theory of Probability and its Applications 8: 22–46.
  • Tartakovsky, A. G., Pollak, M., and Polunchenko, A. S. (2012). Third Order Asymptotic Optimality of the Generalized Shiryaev-Roberts Changepoint Detection Procedure, Theory of Probability and Its Applications 56: 457–484.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.