Li, Kexuan; Polunchenko, Aleksey S. On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion. (English) Zbl 1460.62132 Sequential Anal. 39, No. 2, 214-229 (2020). MSC: 62L10 62G10 60G40 60G42 60J60 PDFBibTeX XMLCite \textit{K. Li} and \textit{A. S. Polunchenko}, Sequential Anal. 39, No. 2, 214--229 (2020; Zbl 1460.62132) Full Text: DOI arXiv
Polunchenko, A. S. Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time. (English) Zbl 1396.62184 Theory Probab. Appl. 62, No. 4, 617-631 (2018) and Teor. Veroyatn. Primen. 62, No. 4, 769-786 (2017). MSC: 62L10 62L15 60G40 PDFBibTeX XMLCite \textit{A. S. Polunchenko}, Theory Probab. Appl. 62, No. 4, 617--631 (2018; Zbl 1396.62184) Full Text: DOI arXiv
Polunchenko, Aleksey S. Asymptotic exponentiality of the first exit time of the Shiryaev-Roberts diffusion with constant positive drift. (English) Zbl 1489.62257 Sequential Anal. 36, No. 3, 370-383 (2017). MSC: 62L10 60G40 60J60 PDFBibTeX XMLCite \textit{A. S. Polunchenko}, Sequential Anal. 36, No. 3, 370--383 (2017; Zbl 1489.62257) Full Text: DOI arXiv
Du, Wenyu; Polunchenko, Aleksey S.; Sokolov, Grigory On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution. (English) Zbl 1364.62214 Commun. Stat., Simulation Comput. 46, No. 3, 2185-2206 (2017). MSC: 62L10 62L15 62P30 65R20 PDFBibTeX XMLCite \textit{W. Du} et al., Commun. Stat., Simulation Comput. 46, No. 3, 2185--2206 (2017; Zbl 1364.62214) Full Text: DOI arXiv
Polunchenko, Aleksey S. On the quasi-stationary distribution of the Shiryaev-Roberts diffusion. (English) Zbl 1362.62158 Sequential Anal. 36, No. 1, 126-149 (2017). MSC: 62L10 60G40 60J60 PDFBibTeX XMLCite \textit{A. S. Polunchenko}, Sequential Anal. 36, No. 1, 126--149 (2017; Zbl 1362.62158) Full Text: DOI arXiv
Polunchenko, Aleksey S.; Sokolov, Grigory An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach. (English) Zbl 1373.62423 Methodol. Comput. Appl. Probab. 18, No. 4, 1153-1195 (2016). MSC: 62L10 62M15 60J60 60G10 PDFBibTeX XMLCite \textit{A. S. Polunchenko} and \textit{G. Sokolov}, Methodol. Comput. Appl. Probab. 18, No. 4, 1153--1195 (2016; Zbl 1373.62423) Full Text: DOI arXiv
Polunchenko, Aleksey S. Exact distribution of the generalized Shiryaev-Roberts stopping time under the minimax Brownian motion setup. (English) Zbl 1338.62183 Sequential Anal. 35, No. 1, 108-143 (2016). MSC: 62L10 60G40 60J25 60J60 35K20 PDFBibTeX XMLCite \textit{A. S. Polunchenko}, Sequential Anal. 35, No. 1, 108--143 (2016; Zbl 1338.62183) Full Text: DOI arXiv
Du, Wenyu; Sokolov, Grigory; Polunchenko, Aleksey S. An exact formula for the average run length to false alarm of the generalized Shiryaev-Roberts procedure for change-point detection under exponential observations. (English) Zbl 1353.62138 Steland, Ansgar (ed.) et al., Stochastic models, statistics and their applications. Collected papers based on the presentations at the 12th workshop, Wrocław, Poland, February 2015. Cham: Springer (ISBN 978-3-319-13880-0/hbk; 978-3-319-13881-7/ebook). Springer Proceedings in Mathematics & Statistics 122, 57-65 (2015). MSC: 62P30 62E15 62L10 62L15 62N05 PDFBibTeX XMLCite \textit{W. Du} et al., Springer Proc. Math. Stat. 122, 57--65 (2015; Zbl 1353.62138) Full Text: DOI arXiv
Polunchenko, Aleksey S.; Sokolov, Grigory; Du, Wenyu An accurate method for determining the pre-change run length distribution of the generalized Shiryaev-Roberts detection procedure. (English) Zbl 1319.62175 Sequential Anal. 33, No. 1, 112-134 (2014). MSC: 62L10 62L15 62P30 65R20 PDFBibTeX XMLCite \textit{A. S. Polunchenko} et al., Sequential Anal. 33, No. 1, 112--134 (2014; Zbl 1319.62175) Full Text: DOI arXiv
Polunchenko, Aleksey S.; Tartakovsky, Alexander G. State-of-the-art in sequential change-point detection. (English) Zbl 06124706 Methodol. Comput. Appl. Probab. 14, No. 3, 649-684 (2012). MSC: 62L10 60G40 62C20 62F15 PDFBibTeX XMLCite \textit{A. S. Polunchenko} and \textit{A. G. Tartakovsky}, Methodol. Comput. Appl. Probab. 14, No. 3, 649--684 (2012; Zbl 06124706) Full Text: DOI arXiv
Polunchenko, Aleksey S.; Tartakovsky, Alexander G.; Mukhopadhyay, Nitis Nearly optimal change-point detection with an application to cybersecurity. (English) Zbl 1274.62515 Sequential Anal. 31, No. 3, 409-435 (2012). MSC: 62L10 62L15 62P30 PDFBibTeX XMLCite \textit{A. S. Polunchenko} et al., Sequential Anal. 31, No. 3, 409--435 (2012; Zbl 1274.62515) Full Text: arXiv
Moustakides, George V.; Polunchenko, Aleksey S.; Tartakovsky, Alexander G. Numerical comparison of CUSUM and Shiryaev-Roberts procedures for detecting changes in distributions. (English) Zbl 1175.62084 Commun. Stat., Theory Methods 38, No. 16-17, 3225-3239 (2009). MSC: 62L10 62L15 65C60 65R20 60G40 PDFBibTeX XMLCite \textit{G. V. Moustakides} et al., Commun. Stat., Theory Methods 38, No. 16--17, 3225--3239 (2009; Zbl 1175.62084) Full Text: DOI arXiv