Serguei Pergamenchtchikov

Optimal Robust Information-Based Quick Detection in Autoregressive Models with Unknown Post-Change Distributions (submitted in IEEE Transactions on Information Theory)

Valérie Girardin, Victor Konev, Serguei Pergamenchtchikov, 2019 .

Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis

Serguei Pergamenchtchikov, Alexander G. Tartakovsky, A. Tartakovsky, 2018, J. Multivar. Anal..

Probabilistic tool for stochastic modeling

Serguei Pergamenchtchikov, Evgeny Pchelintsev, 2017 .

Digital random signal simulator

Serguei Pergamenchtchikov, Vladimir P. Litvinenko, Oleg V. Chernoyarov, 2019 .

Representation Theorem and its Application to Asian Options

Serguei Pergamenchtchikov, Shishkova Alena, 2016 .

Minimax and pointwise sequential changepoint detection and identification for general stochastic models

Serguei Pergamenchtchikov, Alexander Tartakovsky, Valentin Spivak, 2021, J. Multivar. Anal..

Geometric ergodicity for families of homogeneous Markov chains

Serguei Pergamenchtchikov, Leonid Galtchouk, L. Galtchouk, 2010, 1002.2341.

The tail of the stationary distribution of a random coefficient AR(q) model

Serguei Pergamenchtchikov, Claudia Kluppelberg, 2004 .