Related papers: On Asymptotic Optimality in Sequential Changepoint…
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…
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…
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…
Sequential change-point detection when the distribution parameters are unknown is a fundamental problem in statistics and machine learning. When the post-change parameters are unknown, we consider a set of detection procedures based on…
We are interested in estimating the location of what we call "smooth change-point" from $n$ independent observations of an inhomogeneous Poisson process. The smooth change-point is a transition of the intensity function of the process from…
We consider the problem of sequential signal detection in a multichannel system where the number and location of signals is a priori unknown. We assume that the data in each channel are sequentially observed and follow a general non-i.i.d.…
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…
Recent attention in quickest change detection in the multi-sensor setting has been on the case where the densities of the observations change at the same instant at all the sensors due to the disruption. In this work, a more general…
The Gapeev-Shiryaev conjecture (originating in Gapeev and Shiryaev (2011) and Gapeev and Shiryaev (2013)) can be broadly stated as follows: Monotonicity of the signal-to-noise ratio implies monotonicity of the optimal stopping boundaries.…
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…
This paper develops a unified and computationally efficient method for change-point estimation along the time dimension in a non-stationary spatio-temporal process. By modeling a non-stationary spatio-temporal process as a piecewise…
Consider the problem on sequential change-point detection on multiple data streams. We provide the asymptotic lower bounds of the detection delays at all levels of change-point sparsity and we derive a smaller asymptotic lower bound of the…
We consider the classical Shiryaev--Roberts martingale diffusion, $(R_t)_{t\ge0}$, restricted to the interval $[0,A]$, where $A>0$ is a preset absorbing boundary. We take yet another look at the well-known phenomenon of quasi-stationarity…
In this paper we give solution to the quickest drift change detection problem for a L\'evy process consisting of both a continuous Gaussian part and a jump component. We consider here Bayesian framework with an exponential a priori…
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…
In this paper we give a solution to the quickest drift change detection problem for a multivariate L\'evy process consisting of both continuous (Gaussian) and jump components in the Bayesian approach. We do it for a general 0-modified…
Change-of-measure is a powerful technique used across statistics, probability and analysis. Particularly known as Wald's likelihood ratio identity, the technique enabled the proof of a number of exact and asymptotic optimality results…
This paper provides the first description of a weak practical super-martingale phenomenon that can emerge in the test statistic in Shiryaev's Bayesian quickest change detection (QCD) problem. We establish that this super-martingale…
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…
We investigate the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution in a sequential setup. The aim is to jointly infer the true hypothesis and the true parameter while using on…