Related papers: Efficient Computer Network Anomaly Detection by Ch…
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 address the sequential change-point detection problem for the Gaussian model where baseline distribution is Gaussian with variance \sigma^2 and mean \mu such that \sigma^2=a\mu, where a>0 is a known constant; the change is in \mu from…
We propose a numerical method to evaluate the performance of the emerging Generalized Shiryaev--Roberts (GSR) change-point detection procedure in a "minimax-ish" multi-cyclic setup where the procedure of choice is applied repetitively…
We consider the quickest change-point detection problem in pointwise and minimax settings for general dependent data models. Two new classes of sequential detection procedures associated with the maximal "local" probability of a false alarm…
For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics, including average detection…
In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the beginning of the 2000s by Tartakovsky and Veeravalli for general stochastic models assuming a certain stability of…
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…
We consider a sequential Bayesian changepoint detection problem for a general stochastic model, assuming that the observed data may be dependent and non-identically distributed and the prior distribution of the change point is arbitrary,…
Assume that there are multiple data streams (channels, sensors) and in each stream the process of interest produces generally dependent and non-identically distributed observations. When the process is in a normal mode (in-control), the…
A weighted Shiryaev-Roberts change detection procedure is shown to approximately minimize the expected delay to detection as well as higher moments of the detection delay among all change-point detection procedures with the given low…
The problem of detecting a change in the drift of a Brownian motion is considered. The change point is assumed to have a modified exponential prior distribution with unknown parameters. A worst-case analysis with respect to these parameters…
We consider the simple changepoint problem setting, where observations are independent, iid pre-change and iid post-change, with known pre- and post-change distributions. The Shiryaev-Roberts detection procedure is known to be…
Many offline unsupervised change point detection algorithms rely on minimizing a penalized sum of segment-wise costs. We extend this framework by proposing to minimize a sum of discrepancies between segments. In particular, we propose to…
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…
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 propose a general approach for change-point detection in dynamic networks. The proposed method is model-free and covers a wide range of dynamic networks. The key idea behind our approach is to effectively utilize the network structure in…
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 sequentially detecting a moving anomaly which affects different parts of a sensor network with time is studied. Each network sensor is characterized by a non-anomalous and anomalous distribution, governing the generation of…
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…
Wireless Sensor Networks forms the backbone of modern cyber physical systems used in various applications such as environmental monitoring, healthcare monitoring, industrial automation, and smart infrastructure. Ensuring the reliability of…