On Optimality Properties of the Shiryaev-Roberts Procedure (2007)
Pollak, Moshe, Tartakovsky, Alexander G.
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...
Select sets: Rank and file (2007)
Krieger, Abba M., Pollak, Moshe, Samuel-Cahn, Ester
In many situations, the decision maker observes items in sequence and needs to determine whether or not to retain a particular item immediately after it is observed. Any decision rule creates a set...
Select sets: Rank and file (2007)
Krieger, Abba M., Pollak, Moshe, Samuel-Cahn, Ester
In many situations, the decision maker observes items in sequence and needs to determine whether or not to retain a particular item immediately after it is observed. Any decision rule creates a set...
Pollak, Moshe, Tartakovsky, Alexander G.
We consider the first exit time of a nonnegative Harris-recurrent Markov process from the interval $[0,A]$ as $A\to\infty$. We provide an alternative method of proof of asymptotic exponentiality of...
Preprint Pr-cams, Moshe Pollak, Er Tartakovsky, Moshe Pollak, Alexander G. Tartakovsky
We consider the first exit time of a nonnegative Harris-recurrent Markov process from the interval [0, A] as A → ∞. We provide an alternative method of proof of asymptotic exponentiality of the...
Nonanticipating estimation applied to sequential analysis and changepoint detection (2005)
Suppose a process yields independent observations whose distributions belong to a family parameterized by \theta\in\Theta. When the process is in control, the observations are i.i.d. with a known...
Nonanticipating estimation applied to sequential analysis and changepoint detection (2005)
Suppose a process yields independent observations whose distributions belong to a family parameterized by θ∈Θ. When the process is in control, the observations are i.i.d. with a known parameter...
Nonanticipating estimation applied to sequential analysis and changepoint detection (2005)
Suppose a process yields independent observations whose distributions belong to a family parameterized by theta E Theta. When the process is in control, the observations are i.i.d. with a known...
Approximations to the Average Run Lengths of CUSUM Tests. (2002)
Simple approximations are given for the average run lengths of CUSUM tests: both with and without the fast initial response feature, and starting from a quasi-stationary state. Numerical examples...
Detecting a change in regression: first-order optimality (1999)
Krieger, Abba M., Pollak, Moshe, Yakir, Benjamin
Observations are generated according to a regression with normal error as a function of time,when the process is in control. The process potentially changes at some unknown point oftime and then the...
Pollak, Moshe, Yakir, Benjamin
The probability that a stochastic process with negative drift exceed a value a often has a renewal-theoretic approximation as $a \to \infty$. Except for a process of iid random variables, this...
Observations are taken independently and sequentially. Detection of a change in distribution is studied when the problem has an invariance structure. The prechange distribution is assumed to be a...
Abba M. Krieger, Moshe Pollak, Ester Samuel-Cahn
In many situations, the decision maker observes items in sequence and needs to determine whether or not to retain a particular item immediately after it is observed. Any decision rule creates a set...
Beat the Mean: Better the Average
Abba M. Krieger, Moshe Pollak, Ester Samuel-Cahn
We consider a sequential rule, where an item is chosen into the group, such as a university faculty member, only if his score is better than the average score of those already belonging to the group....
Abba M. Krieger, Moshe Pollak, Ester Samuel-Cahn
The present paper studies the limiting behavior of the average score of a sequentially selected group of items or individuals, the underlying distribution of which, F, belongs to the Gumbel domain of...