155 citations · 486 across the 22 of their papers we have counts for
4 papers · 1 filter
Optimal Design of the Shiryaev-Roberts Chart: Give Your Shiryaev-Roberts a Headstart
Aleksey S. Polunchenko
We offer a numerical study of the effect of headstarting on the performance of a Shiryaev-Roberts (SR) chart set up to control the mean of a normal process. The study is a natural…
Real-time financial surveillance via quickest change-point detection methods
Andrey Pepelyshev, Aleksey S. Polunchenko
We consider the problem of efficient financial surveillance aimed at "on-the-go" detection of structural breaks (anomalies) in "live"-monitored financial time series. With the prob…
Optimal Design and Analysis of the Exponentially Weighted Moving Average Chart for Exponential Data
Aleksey S. Polunchenko, Grigory Sokolov, Alexander G. Tartakovsky
We study optimal design of the Exponentially Weighted Moving Average (EWMA) chart by a proper choice of the smoothing factor and the initial value (headstart) of the decision stati…
Efficient Computer Network Anomaly Detection by Changepoint Detection Methods
Alexander G. Tartakovsky, Aleksey S. Polunchenko, Grigory Sokolov
We consider the problem of efficient on-line anomaly detection in computer network traffic. The problem is approached statistically, as that of sequential (quickest) changepoint de…