Related papers: On robust stopping times for detecting changes in …
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…
We consider the change point testing problem for high-dimensional time series. Unlike conventional approaches, where one tests whether the difference $\delta$ of the mean vectors before and after the change point is equal to zero, we argue…
In this paper, we consider the structural change in a class of discrete valued time series, which the true conditional distribution of the observations is assumed to be unknown. The conditional mean of the process depends on a parameter…
The time distribution of relaxation events in an aging system is investigated via molecular dynamics simulations. The focus is on the distribution functions of the first passage time, $p_1(\Delta t)$, and the persistence time, $p(\tau)$. 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…
In this work, we introduce statistical testing under distributional shifts. We are interested in the hypothesis $P^* \in H_0$ for a target distribution $P^*$, but observe data from a different distribution $Q^*$. We assume that $P^*$ is…
We study the problem of online network change point detection. In this setting, a collection of independent Bernoulli networks is collected sequentially, and the underlying distributions change when a change point occurs. The goal is to…
Sequential change point tests aim at giving an alarm as soon as possible after a structural break occurs while controlling the asymptotic false alarm error. For such tests it is of particular importance to understand how quickly a break is…
Let $Z=(Z_t)_{t\ge0}$ be a regular diffusion process started at $0$, let $\ell$ be an independent random variable with a strictly increasing and continuous distribution function $F$, and let $\tau_{\ell}=\inf\{t\ge0\vert Z_t=\ell\}$ be the…
Suppose that at any stage of a statistical experiment a control variable $X$ that affects the distribution of the observed data $Y$ at this stage can be used. The distribution of $Y$ depends on some unknown parameter $\theta$, and we…
In the common time series model $X_{i,n} = \mu (i/n) + \varepsilon_{i,n}$ with non-stationary errors we consider the problem of detecting a significant deviation of the mean function $\mu$ from a benchmark $g (\mu )$ (such as the initial…
Motivated by the problem of detecting a change in the evolution of a network, we consider the preferential attachment random graph model with a time-dependent attachment function. Our goal is to detect whether the attachment mechanism…
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…
We consider the quickest change-point detection problem where the aim is to detect the onset of a pre-specified drift in "live"-monitored standard Brownian motion; the change-point is assumed unknown (nonrandom). The object of interest is…
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times…
Isotropic $\alpha$-stable distributions are central in the theory of heavy-tailed distributions and play a role similar to that of the Gaussian density among finite second-moment laws. Given a sequence of $n$ observations, we are interested…
A distributed binary hypothesis testing problem, in which multiple observers transmit their observations to a detector over noisy channels, is studied. Given its own side information, the goal of the detector is to decide between two…
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…
We consider the scattering of an electron from a semi-infinite one-dimensional random medium. The random medium is characterized by force, $-\d V/\d L$ being the basic random variable. We obtain an analytical expression for the stationary…
We study the optimal stopping time problem $v(S)={\rm ess}\sup_{\theta \geq S} E[\phi(\theta)|\mathcal {F}_S]$, for any stopping time $S$, where the reward is given by a family $(\phi(\theta),\theta\in\mathcal{T}_0)$ \emph{of non negative…