155 citations · 185 across the 9 of their papers we have counts for
4 papers · 1 filter
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…