155 citations · 185 across the 9 of their papers we have counts for
10 papers
Detecting an Intermittent Change of Unknown Duration
Grigory Sokolov, Valentin S. Spivak, Alexander G. Tartakovsky
Oftentimes in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says…
An Analytic Expression for the Distribution of the Generalized Shiryaev-Roberts Diffusion
Aleksey S. Polunchenko, Grigory Sokolov
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…
On Robustness of the Shiryaev-Roberts Procedure for Quickest Change-Point Detection under Parameter Misspecification in the Post-Change Distribution
Wenyu Du, Aleksey S. Polunchenko, Grigory Sokolov
The gist of the quickest change-point detection problem is to detect the presence of a change in the statistical behavior of a series of sequentially made observations, and do so i…
Second-Order Asymptotic Optimality in Multisensor Sequential Change Detection
Georgios Fellouris, Grigory Sokolov
A generalized multisensor sequential change detection problem is considered, in which a number of (possibly correlated) sensors monitor an environment in real time, the joint distr…
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…
Efficient Performance Evaluation of the Generalized Shiryaev--Roberts Detection Procedure in a Multi-Cyclic Setup
Aleksey S. Polunchenko, Grigory Sokolov, Wenyu Du
We propose a numerical method to evaluate the performance of the emerging Generalized Shiryaev--Roberts (GSR) change-point detection procedure in a "minimax-ish" multi-cyclic setup…
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…
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…
An Accurate Method for Determining the Pre-Change Run-Length Distribution of the Generalized Shiryaev--Roberts Detection Procedure
Aleksey S. Polunchenko, Grigory Sokolov, Wenyu Du
Change-of-measure is a powerful technique used across statistics, probability and analysis. Particularly known as Wald's likelihood ratio identity, the technique enabled the proof…
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…