Related papers: Numerical Comparison of Cusum and Shiryaev-Roberts…
This paper considers the problem of comparing two processes with panel data. A nonparametric test is proposed for detecting a monotone change in the link between the two process distributions. The test statistic is of CUSUM type, based on…
We study the problem of detecting a change in the mean of one-dimensional Gaussian process data. This problem is investigated in the setting of increasing domain (customarily employed in time series analysis) and in the setting of fixed…
We study a CUSUM (cumulative sums) procedure for the detection of changes in the means of weakly dependent time series within an abstract Hilbert space framework. We use an empirical projection approach via a principal component…
In the classical quickest change detection problem, an observer performs a single experiment to monitor a stochastic process. The goal in the classical problem is to detect a change in the statistical properties of the process, with the…
The change detection problem is to determine if the Markov network structures of two Markov random fields differ from one another given two sets of samples drawn from the respective underlying distributions. We study the trade-off between…
Most studies in real time change-point detection either focus on the linear model or use the CUSUM method under classical assumptions on model errors. This paper considers the sequential change-point detection in a nonlinear quantile model.…
Several variations of the Shiryaev-Roberts detection procedure in the context of the simple changepoint problem are considered: starting the procedure at $R_0=0$ (the original Shiryaev-Roberts procedure), at $R_0=r$ for fixed $r>0$, and at…
The problem of quickest change detection (QCD) under transient dynamics is studied, where the change from the initial distribution to the final persistent distribution does not happen instantaneously, but after a series of transient phases.…
The analysis of record-breaking events is of interest in fields such as climatology, hydrology or anthropology. In connection with the record occurrence, we propose three distribution-free statistics for the changepoint detection problem.…
For the classical continuous-time quickest change-point detection problem it is shown that the randomized Shiryaev-Roberts-Pollak procedure is asymptotically nearly minimax-optimal (in the sense of Pollak 1985) in the class of randomized…
In this article, we consider the estimation of the structural change point in the nonparametric model with dependent observations. We introduce a maximum-CUSUM-estimation procedure, where the CUSUM statistic is constructed based on the…
A weakly dependent time series regression model with multivariate covariates and univariate observations is considered, for which we develop a procedure to detect whether the nonparametric conditional mean function is stable in time against…
Detecting if and when objects change is difficult in passive sub-diffraction imaging of dynamic scenes. We consider the best possible tradeoff between responsivity and accuracy for detecting a change from one arbitrary object model to…
We study a monitoring system in which the distributions of sensors' observations change from a nominal distribution to an abnormal distribution in response to an adversary's presence. The system uses the quickest change detection procedure,…
The quickest change detection problem is considered in the context of monitoring large-scale independent normal distributed data streams with possible changes in some of the means. It is assumed that for each individual local data stream,…
We consider the problem of quickest change-point detection in data streams. Classical change-point detection procedures, such as CUSUM, Shiryaev-Roberts and Posterior Probability statistics, are optimal only if the change-point model is…
We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cram\'{e}r-von Mises type statistics are…
In this paper we consider change-points in multiple sequences with the objective of minimizing the estimation error of a sequence by making use of information from other sequences. This is in contrast to recent interest on change-points in…
Oftentimes in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says that the change is intermittent or transient. We provide an…
In this paper, we consider the problem of (multiple) change-point detection in panel data. We propose the double CUSUM statistic which utilises the cross-sectional change-point structure by examining the cumulative sums of ordered CUSUMs at…