A numerical approach to performance analysis of quickest change-point detection procedures
A numerical approach to performance analysis of quickest change-point detection procedures
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 …