Related papers: Non-parametric Quickest Change Detection for Large…

This paper addresses the problem of quickest detection of a change in the maximal coherence between columns of a $n\times p$ random matrix based on a sequence of matrix observations having a single unknown change point. The random matrix is…

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 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…

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…

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…

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 detection of a change in the mean of a sequence of independent observations is studied. The pre-change distribution is assumed to be stationary, while the post-change distributions are allowed to be non-stationary.…

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…

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…

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…

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…

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 problem of quickest detection of a change in the mean of an observation sequence, under the assumption that both the pre- and post-change distributions have bounded support. We first study the case where the pre-change…

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…

The problem of quickest change detection (QCD) under transient dynamics is studied, where the change from the initial distribution to the final persistent distribution does not happen instantaneously, but after a series of transient phases.…

This paper establishes that an exactly optimal rule for Bayesian Quickest Change Detection (QCD) of Markov chains is a threshold test on the no change posterior. We also provide a computationally efficient scalar filter for the no change…

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…

The problem of detecting changes in the statistical properties of a stochastic system and time series arises in various branches of science and engineering. It has a wide spectrum of important applications ranging from machine monitoring to…

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 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…