Related papers: State-of-the-Art in Sequential Change-Point Detect…
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…
We consider the sequential change-point detection problem of detecting changes that are characterized by a subspace structure. Such changes are frequent in high-dimensional streaming data altering the form of the corresponding covariance…
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…
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…
The paper studies the problem of detecting and locating change points in multivariate time-evolving data. The problem has a long history in statistics and signal processing and various algorithms have been developed primarily for simple…
The problem of change-point estimation is considered under a general framework where the data are generated by unknown stationary ergodic process distributions. In this context, the consistent estimation of the number of change-points is…
We introduce a novel Bayesian method that can detect multiple structural breaks in the mean and variance of a length $T$ time-series. Our method quantifies uncertainty by returning $\alpha$-level credible sets around the estimated locations…
We consider Bayesian analysis of a class of multiple changepoint models. While there are a variety of efficient ways to analyse these models if the parameters associated with each segment are independent, there are few general approaches…
Sequential Model-based Bayesian Optimization has been successful-ly applied to several application domains, characterized by complex search spaces, such as Automated Machine Learning and Neural Architecture Search. This paper focuses on…
Process monitoring and control requires detection of structural changes in a data stream in real time. This article introduces an efficient sequential Monte Carlo algorithm designed for learning unknown changepoints in continuous time. The…
We consider a change detection problem in which the arrival rate of a Poisson process changes suddenly at some unknown and unobservable disorder time. It is assumed that the prior distribution of the disorder time is known. The objective is…
This paper investigates sequential change-point detection in reconfigurable sensor networks. In this problem, data from multiple sensors are observed sequentially. Each sensor can have a unique change point, and the data distribution…
We study the multivariate nonparametric change point detection problem, where the data are a sequence of independent $p$-dimensional random vectors whose distributions are piecewise-constant with Lipschitz densities changing at unknown…
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…
In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does…
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…
Change-point detection has been a classical problem in statistics and econometrics. This work focuses on the problem of detecting abrupt distributional changes in the data-generating distribution of a sequence of high-dimensional…
In many change point problems it is reasonable to assume that compared to a benchmark at a given time point $t_0$ the properties of the observed stochastic process change gradually over time for $t >t_0$. Often, these gradual changes are…
We consider the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution. This problem is investigated in a sequential setup under mild assumptions on the underlying random process. The…
We show that "full-bang" control is optimal in a problem that combines features of (i) sequential least-squares {\it estimation} with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded {\it control} of…