Related papers: Asymptotically Optimal Pointwise and Minimax Quick…
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…
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…
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…
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,…
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…
In 1960s Shiryaev developed Bayesian theory of change detection in independent and identically distributed (i.i.d.) sequences. In Shiryaev's classical setting the goal is to minimize an average detection delay under the constraint imposed…
Let \xi_0,\xi_1,...,\xi_{\omega-1} be observations from the hidden Markov model with probability distribution P^{\theta_0}, and let \xi_{\omega},\xi_{\omega+1},... be observations from the hidden Markov model with probability distribution…
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…
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 paper addresses a sequential changepoint detection problem for a general stochastic model, assuming that the observed data may be non-i.i.d. (i.e., dependent and non-identically distributed) and the prior distribution of the change…
We consider the problem of efficient on-line anomaly detection in computer network traffic. The problem is approached statistically, as that of sequential (quickest) changepoint detection. A multi-cyclic setting of quickest change detection…
In 1985, for detecting a change in distribution, Pollak introduced a specific minimax performance metric and a randomized version of the Shiryaev-Roberts procedure where the zero initial condition is replaced by a random variable sampled…
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…
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…
This paper investigates change point detection in state space models, in which the pre-change distribution $f^{\theta_0}$ is given, while the poster distribution $f^{\theta}$ after change is unknown. The problem is to raise an alarm as soon…
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…
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…
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…
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…
This paper deals with the problem of asymptotically optimal detection of changes in regime-switching stochastic models. We need to divide the whole obtained sample of data into several sub-samples with observations belonging to different…