An Exact Formula for the Average Run Length to False Alarm of the Generalized Shiryaev-Roberts Procedure for Change-Point Detection under Exponential Observations

Wenyu Du, Grigory Sokolov, Aleksey S. Polunchenko

We derive analytically an exact closed-form formula for the standard minimax Average Run Length (ARL) to false alarm delivered by the Generalized Shiryaev-Roberts (GSR) change-poin…