155 citations · 578 across the 27 of their papers we have counts for
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Numerical Comparison of Cusum and Shiryaev-Roberts Procedures for Detecting Changes in Distributions
George V. Moustakides, Aleksey S. Polunchenko, Alexander G. Tartakovsky
The CUSUM procedure is known to be optimal for detecting a change in distribution under a minimax scenario, whereas the Shiryaev-Roberts procedure is optimal for detecting a change…
A Numerical Approach to Performance Analysis of Quickest Change-Point Detection Procedures
George V. Moustakides, Aleksey S. Polunchenko, Alexander G. Tartakovsky
For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a…
On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
Aleksey S. Polunchenko, Alexander G. Tartakovsky
In 1985, for detecting a change in distribution, Pollak introduced a specific minimax performance metric and a randomized version of the Shiryaev-Roberts procedure where the zero i…