155 citations · 486 across the 22 of their papers we have counts for
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More On the Quasi-Stationary Distribution of the Shiryaev--Roberts Diffusion
Soumik Banerjee, Aleksey S. Polunchenko
We consider the classical Shiryaev--Roberts martingale diffusion, , restricted to the interval , where is a preset absorbing boundary. We take yet anoth…
Asymptotic Near-Minimaxity of the Randomized Shiryaev-Roberts-Pollak Change-Point Detection Procedure in Continuous Time
Aleksey S. Polunchenko
For the classical continuous-time quickest change-point detection problem it is shown that the randomized Shiryaev-Roberts-Pollak procedure is asymptotically nearly minimax-optimal…
On the Quasi-Stationary Distribution of the Shiryaev-Roberts Diffusion
Aleksey S. Polunchenko
We consider the diffusion generated by the equation with fixed, and where is given, and i…
Exact Distribution of the Generalized Shiryaev-Roberts Stopping Time Under the Minimax Brownian Motion Setup
Aleksey S. Polunchenko
We consider the quickest change-point detection problem where the aim is to detect the onset of a pre-specified drift in "live"-monitored standard Brownian motion; the change-point…
Quickest Change-Point Detection: A Bird's Eye View
Aleksey S. Polunchenko, Grigory Sokolov, Wenyu Du
We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a s…
Nearly Optimal Change-Point Detection with an Application to Cybersecurity
Aleksey S. Polunchenko, Alexander G. Tartakovsky, Nitis Mukhopadhyay
We address the sequential change-point detection problem for the Gaussian model where baseline distribution is Gaussian with variance σ^2 and mean μsuch that σ^2=aμ, where a>0 is a…
State-of-the-Art in Sequential Change-Point Detection
Aleksey S. Polunchenko, Alexander G. Tartakovsky
We provide an overview of the state-of-the-art in the area of sequential change-point detection assuming discrete time and known pre- and post-change distributions. The overview sp…
Third-order Asymptotic Optimality of the Generalized Shiryaev-Roberts Changepoint Detection Procedures
Alexander G. Tartakovsky, Moshe Pollak, Aleksey S. Polunchenko
Several variations of the Shiryaev-Roberts detection procedure in the context of the simple changepoint problem are considered: starting the procedure at (the original Shir…
On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
Aleksey S. Polunchenko, Alexander G. Tartakovsky
In 1985, for detecting a change in distribution, Pollak introduced a specific minimax performance metric and a randomized version of the Shiryaev-Roberts procedure where the zero i…