Related papers: Minimax Robust Quickest Change Detection
In the problem of quickest change detection, a change occurs at some unknown time in the distribution of a sequence of random vectors that are monitored in real time, and the goal is to detect this change as quickly as possible subject to a…
We consider the quickest change detection problem where both the parameters of pre- and post- change distributions are unknown, which prevents the use of classical simple hypothesis testing. Without additional assumptions, optimal solutions…
We study the robust quickest change detection under unknown pre- and post-change distributions. To deal with uncertainties in the data-generating distributions, we formulate two data-driven ambiguity sets based on the Wasserstein distance,…
The problem of quickest detection of a change in the distribution of a sequence of independent observations is considered. It is assumed that the pre-change distribution is known (accurately estimated), while the only information about the…
We address the computational challenge of finding the robust sequential change-point detection procedures when the pre- and post-change distributions are not completely specified. Earlier works [veeravalli 1994] and [Unnikrishnan 2011]…
This paper provides an overview of results and concepts in minimax robust hypothesis testing for two and multiple hypotheses. It starts with an introduction to the subject, highlighting its connection to other areas of robust statistics and…
The problem of robust quickest change detection (QCD) in non-stationary processes under a multi-stream setting is studied. In classical QCD theory, optimal solutions are developed to detect a sudden change in the distribution of stationary…
The problem of quickest change detection in a sequence of independent observations is considered. The pre-change distribution is assumed to be known, while the post-change distribution is unknown. Two tests based on post-change density…
The problem of quickest change detection is studied, where there is an additional constraint on the cost of observations used before the change point and where the post-change distribution is composite. Minimax formulations are proposed for…
We propose a quickest change detection problem over sensor networks where both the subset of sensors undergoing a change and the local post-change distributions are unknown. Each sensor in the network observes a local discrete time random…
Methods in the field of quickest change detection rapidly detect in real-time a change in the data-generating distribution of an online data stream. Existing methods have been able to detect this change point when the densities of the pre-…
The gist of the quickest change-point detection problem is to detect the presence of a change in the statistical behavior of a series of sequentially made observations, and do so in an optimal detection-speed-vs.-"false-positive"-risk…
The problem of quickest detection of a change in the distribution of a sequence of independent observations is considered. The pre-change observations are assumed to be stationary with a known distribution, while the post-change…
The problem of quickest change detection with a wireless sensor node is studied in this paper. The sensor that is deployed to monitor the environment has limited energy constraint to the classical quickest change detection problem. We…
The problem of quickest detection of a change in the distribution of a sequence of random variables is studied. The objective is to detect the change with the minimum possible delay, subject to constraints on the rate of false alarms and…
For the problem of sequential detection of changes, we adopt the probability maximizing approach in place of the classical minimization of the average detection delay, and propose modified versions of the Shiryaev, Lorden and Pollak…
In this paper, we study the quickest change detection with mismatched post-change models. A change point is the time instant at which the distribution of a random process changes. The objective of quickest change detection is to minimize…
In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…
A finite-horizon variant of the quickest change detection (QCD) problem that is of relevance to learning in non-stationary environments is studied. The metric characterizing false alarms is the probability of a false alarm occurring before…
We investigate the problem of jointly testing a pair of composite hypotheses and, depending on the test result, estimating a random parameter under distributional uncertainties. Specifically, it is assumed that the distribution of the data…