Related papers: Quickest Change Detection
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…
The classical problem of quickest change detection is studied with an additional constraint on the cost of observations used in the detection process. The change point is modeled as an unknown constant, and minimax formulations are proposed…
Online detection of changes in stochastic systems, referred to as sequential change detection or quickest change detection, is an important research topic in statistics, signal processing, and information theory, and has a wide range of…
Algorithms are developed for the quickest detection of a change in statistically periodic processes. These are processes in which the statistical properties are nonstationary but repeat after a fixed time interval. It is assumed that the…
Modern information systems generate large volumes of data with anomalies that occur at unknown points in time and have to be detected quickly and reliably with low false alarm rates. The paper develops a general theory of quickest…
We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a summary of the forefront asymptotic results established in…
The problem of detecting the presence of a signal that can lead to a disaster is studied. A decision-maker collects data sequentially over time. At some point in time, called the change point, the distribution of data changes. This change…
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…
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…
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…
Sequential change diagnosis is the joint problem of detection and identification of a sudden and unobservable change in the distribution of a random sequence. In this problem, the common probability law of a sequence of i.i.d. random…
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…
The problem of quickest growing dynamic anomaly detection in sensor networks is studied. Initially, the observations at the sensors, which are sampled sequentially by the decision maker, are generated according to a pre-change distribution.…
In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. Specifically, there is a sequence of random variables whose probability density function will change at an unknown time. The goal is…
We provide an overview of the state-of-the-art in the area of sequential change-point detection assuming discrete time and known pre- and post-change distributions. The overview spans over all major formulations of the underlying…
The field of quickest change detection (QCD) concerns design and analysis of algorithms to estimate in real time the time at which an important event takes place and identify properties of the post-change behavior. The goal is to devise a…
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 problem of quickest detection of a change in distribution is considered under the assumption that the pre-change distribution is known, and the post-change distribution is only known to belong to a family of distributions…
A sensor network is considered where a sequence of random variables is observed at each sensor. At each time step, a processed version of the observations is transmitted from the sensors to a common node called the fusion center. At some…
In this paper, we consider the problem of quickest change point detection and identification over a linear array of $N$ sensors, where the change pattern could first reach any of these sensors, and then propagate to the other sensors. Our…