Related papers: Signed Sequential Rank Shiryaev-Roberts Schemes
CUSUMs based on the signed sequential ranks of observations are developed for detecting location and scale changes in symmetric distributions. The CUSUMs are distribution free and fully self-starting: given a specified in-control median and…
We propose distribution-free runs-based control charts for detecting location shifts. Using the fact that given the number of total successes, the outcomes of a sequence of Bernoulli trials are random permutations, we are able to control…
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 detection. A multi-cyclic setting of quickest change detection…
In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the beginning of the 2000s by Tartakovsky and Veeravalli for general stochastic models assuming a certain stability of…
We consider the problem of efficient financial surveillance aimed at "on-the-go" detection of structural breaks (anomalies) in "live"-monitored financial time series. With the problem approached statistically, viz. as that of multi-cyclic…
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 number of performance metrics, including average detection…
Shewhart Control Charts (SCC)s are constructed under the assumption of normality and are widely recognized in statistical quality control by numerous researchers. Problems arise when the distribution of process data does not conform to a…
We propose a sequential nonparametric test for detecting a change in distribution, based on windowed Kolmogorov--Smirnov statistics. The approach is simple, robust, highly computationally efficient, easy to calibrate, and requires no…
Phase I distribution-free runs- and patterns-type control charts are proposed for monitoring the unknown target value (or location parameter) for both continuous and discrete individual observations. Our approach maintains the nominal…
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 that occurs at a distant time horizon. As a simpler…
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 where the procedure of choice is applied repetitively…
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 of a number of exact and asymptotic optimality results…
In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probability ratio method and a generalized sequential probability…
We consider the simple changepoint problem setting, where observations are independent, iid pre-change and iid post-change, with known pre- and post-change distributions. The Shiryaev-Roberts detection procedure is known to be…
We consider a sequential Bayesian changepoint detection problem for a general stochastic model, assuming that the observed data may be dependent and non-identically distributed and the prior distribution of the change point is arbitrary,…
Rank correlations have found many innovative applications in the last decade. In particular, suitable rank correlations have been used for consistent tests of independence between pairs of random variables. Using ranks is especially…
We consider the analysis of sets of categorical sequences consisting of piecewise homogeneous Markov segments. The sequences are assumed to be governed by a common underlying process with segments occurring in the same order for each…
In this study, we considered the design and performance of control charts using neoteric ranked set sampling (NRSS) in monitoring normal distributed processes. NRSS is a recently proposed sampling design, based on the traditional ranked set…
This paper considers the problem of sequentially detecting a change in the joint distribution of multiple data sources under a sampling constraint. Specifically, the channels or sources generate observations that are independent over time,…
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 in an optimal detection-speed-vs.-"false-positive"-risk…