Title: Quickest Change-Point Detection: The Shiryaev--Roberts Approach
Abstract: Sequential (quickest) change-point detection is the branch of statistics concerned with the design and analysis of methods for rapid but reliable anomaly detection in ``live'' monitored processes. The subject's areas of application are virtually unlimited, and include quality and process control, anomaly and failure detection, surveillance and security, finance, seismology, navigation, intrusion detection, boundary tracking---to name a few. We provide a brief overview of the state-of-the-art in quickest change-point detection with particular emphasis placed on the recently proposed Generalized Shiryaev--Roberts (GSR) detection procedure (it was proposed in 2008, but the paper came out only in 2011). Notwithstanding its relatively ``young age'', the GSR procedure has already been shown to have strong optimality properties not exhibited by such mainstream detection methods as the Cumulative Sum (CUSUM) ``inspection scheme'' and the Exponentially Weighted Moving Average (EWMA) chart.