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…