Related papers: Change-point detection for L\'evy processes

Change-point detection studies the problem of detecting the changes in the underlying distribution of the data stream as soon as possible after the change happens. Modern large-scale, high-dimensional, and complex streaming data call for…

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…

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…

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…

Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment and return to the initial state. A base distribution of the…

The aim of online monitoring is to issue an alarm as soon as there is significant evidence in the collected observations to suggest that the underlying data generating mechanism has changed. This work is concerned with open-end,…

Detecting change points sequentially in a streaming setting, especially when both the mean and the variance of the signal can change, is often a challenging task. A key difficulty in this context often involves setting an appropriate…

Detecting change-points in data is challenging because of the range of possible types of change and types of behaviour of data when there is no change. Statistically efficient methods for detecting a change will depend on both of these…

We consider an SDE in R^m of the type dX(t)=a(X(t))dt+dU(t) with a L\'evy process U and study the problem for the distribution of a solution to be regular in various senses. We do not impose any specific conditions on the L\'evy measure of…

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 problem of quickest change detection is studied in the context of detecting an arbitrary unknown mean-shift in multiple independent Gaussian data streams. The James-Stein estimator is used in constructing detection schemes that exhibit…

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,…

Motivated by Industry 4.0 applications, we consider quickest change detection (QCD) of an abrupt change in a process when its measurements are transmitted by a sensor over a lossy wireless link to a decision maker (DM). The sensor node…

Distributed change-point detection has been a fundamental problem when performing real-time monitoring using sensor-networks. We propose a distributed detection algorithm, where each sensor only exchanges CUSUM statistic with their…

We consider sequential change-point detection in parallel data streams, where each stream has its own change point. Once a change is detected in a data stream, this stream is deactivated permanently. The goal is to maximize the normal…

This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the null hypothesis but exhibits change-points or becomes less…

A generalized multisensor sequential change detection problem is considered, in which a number of (possibly correlated) sensors monitor an environment in real time, the joint distribution of their observations is determined by a global…

In this paper we consider change-points in multiple sequences with the objective of minimizing the estimation error of a sequence by making use of information from other sequences. This is in contrast to recent interest on change-points in…

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…

In the problem of quickest change detection (QCD), a change occurs at some unknown time in the distribution of a sequence of independent observations. This work studies a QCD problem where the change is either a bad change, which we aim to…