Real-time financial surveillance via quickest change-point detection methods

Polunchenko, Aleksey S., Pepelyshev, Andrey . Statistics and Its Interface 2017. 10 (1) :93-106

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Bibtex

@article{CIS-473423,
  Author = {Polunchenko, Aleksey S. and Pepelyshev, Andrey},
  Title = {Real-time financial surveillance via quickest change-point detection methods},
  Journal = {Statistics and Its Interface},
  Volume = {10},
  Number = {1},
  Year = {2017},
  Pages = {93--106},
  Keywords = {quickest change-point detection, shiryaev–roberts procedure, sequential analysis, cusum chart}
}

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