Related papers: Third-order Asymptotic Optimality of the Generaliz…
We consider the diffusion $(R_t^r)_{t\ge0}$ generated by the equation $dR_t^r=dt+\mu R_t^r dB_t$ with $R_0^r\triangleq r\ge0$ fixed, and where $\mu\neq0$ is given, and $(B_t)_{t\ge0}$ is standard Brownian motion. We assume that…
Change-of-measure is a powerful technique used across statistics, probability and analysis. Particularly known as Wald's likelihood ratio identity, the technique enabled the proof of a number of exact and asymptotic optimality results…
In this paper we extend the Shiryaev's quickest change detection formulation by also accounting for the cost of observations used before the change point. The observation cost is captured through the average number of observations used in…
We consider the quickest change-point detection problem where the aim is to detect the onset of a pre-specified drift in "live"-monitored standard Brownian motion; the change-point is assumed unknown (nonrandom). The object of interest is…
We consider the problem of efficient financial surveillance aimed at "on-the-go" detection of structural breaks (anomalies) in "live"-monitored financial time series. With the problem approached statistically, viz. as that of multi-cyclic…
We investigate the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution in a sequential setup. The aim is to jointly infer the true hypothesis and the true parameter while using on…
A novel sequential change detection problem is proposed, in which the goal is to not only detect but also accelerate the change. Specifically, it is assumed that the sequentially collected observations are responses to treatments selected…
This paper considers the problem of joint change detection and identification assuming multiple composite postchange hypotheses. We propose a multihypothesis changepoint detection-identification procedure that controls the probabilities of…
Quickest change point detection is concerned with the detection of statistical change(s) in sequences while minimizing the detection delay subject to false alarm constraints. In this paper, the problem of change point detection is studied…
High-dimensional data has become popular due to the easy accessibility of sensors in modern industrial applications. However, one specific challenge is that it is often not easy to obtain complete measurements due to limited sensing powers…
We consider the problem of quickest change-point detection where the observations form a first-order autoregressive (AR) process driven by temporally independent standard Gaussian noise. Subject to possible change are both the drift of the…
A generalized multisensor sequential change detection problem is considered, in which a number of (possibly correlated) sensors monitor an environment in real time, the joint distribution of their observations is determined by a global…
We are interested in estimating the location of what we call "smooth change-point" from $n$ independent observations of an inhomogeneous Poisson process. The smooth change-point is a transition of the intensity function of the process from…
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…
The CUSUM procedure is known to be optimal for detecting a change in distribution under a minimax scenario, whereas the Shiryaev-Roberts procedure is optimal for detecting a change that occurs at a distant time horizon. As a simpler…
This paper considers a sequence of random variables generated according to a common distribution. The distribution might undergo periods of transient changes at an unknown set of time instants, referred to as change-points. The objective is…
We consider a popular online change-point problem of detecting a transient change in distributions of i.i.d. random variables. For this change-point problem, several change-point procedures are formulated and some advanced results for a…
Consider the problem on sequential change-point detection on multiple data streams. We provide the asymptotic lower bounds of the detection delays at all levels of change-point sparsity and we derive a smaller asymptotic lower bound of the…
In the sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution $f_{\theta}$ and tries to minimize the detection delay for every possible post-change…
The paper addresses a sequential changepoint detection problem, assuming that the duration of change may be finite and unknown. This problem is of importance for many applications, e.g., for signal and image processing where signals appear…