155 citations · 185 across the 9 of their papers we have counts for
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stat.ME2016★ 11 cited
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…
stat.ME2014
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…