Statistics – Computation
Scientific paper
2009-07-21
Statistica Sinica, vol. 21, no. 2, pp. 571--596, 2011
Statistics
Computation
32 pages, to appear in Statistica Sinica
Scientific paper
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 delay and average time to false alarm. We pay special attention to the Shiryaev-Roberts procedure and evaluate its performance for various initialization strategies. Regarding the randomized initialization variant proposed by Pollak, known to be asymptotically optimal of order-3, we offer a means for numerically computing the quasi-stationary distribution of the Shiryaev-Roberts statistic that is the distribution of the initializing random variable, thus making this test applicable in practice. A significant side-product of our computational technique is the observation that deterministic initializations of the Shiryaev-Roberts procedure can also enjoy the same order-3 optimality property as Pollak's randomized test and, after careful selection, even uniformly outperform it.
Moustakides George V.
Polunchenko Aleksey S.
Tartakovsky Alexander G.
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