Department of Mathematical Sciences
|DATE:||Thursday, May 7, 2015|
|TIME:||1:15pm to 2:15pm|
|SPEAKER:||Aleksey S. Polunchenko (Binghamton University)|
|TITLE:||Some analytic formulae for the performance of the Generalized Shiryaev–Roberts change-point detection procedure under exponential data|
We derive analytically closed-form formulae for a set of minimax performance characteristics of the Generalized Shiryaev–Roberts change-point detection procedure devised to detect a shift in the baseline mean of a sequence of independent exponentially distributed observations. The derivation is accomplished through direct solution of the respective integral (renewal) equations by finding explicitly the resolvent of each of the equations involved.