Related papers: Quickest Search for a Change Point

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 study a monitoring system in which the distributions of sensors' observations change from a nominal distribution to an abnormal distribution in response to an adversary's presence. The system uses the quickest change detection procedure,…

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 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…

The problem of sequential change diagnosis is considered, where observations are obtained on-line, an abrupt change occurs in their distribution, and the goal is to quickly detect the change and accurately identify the post-change…

For the problem of sequential detection of changes, we adopt the probability maximizing approach in place of the classical minimization of the average detection delay, and propose modified versions of the Shiryaev, Lorden and Pollak…

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 sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution $f_{\theta}$ and tries to minimize the detection delay for every possible post-change…

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…

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…

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, 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 consider a popular online change-point problem of detecting a transient change in distributions of i.i.d. random variables. For this change-point problem, several change-point procedures are formulated and some advanced results for a…

A random sequence having two segments being the homogeneous Markov processes is registered. Each segment has his own transition probability law and the length of the segment is unknown and random. The transition probabilities of each…

Detecting abrupt changes in data streams is crucial because they are often triggered by events that have important consequences if left unattended. Quickest change point detection has become a vital sequential analysis primitive that aims…

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…

This paper reviews recent developments in fundamental limits and optimal algorithms for change point analysis. We focus on minimax optimal rates in change point detection and localisation, in both parametric and nonparametric models. We…

A sensor network is considered where a sequence of random variables is observed at each sensor. At each time step, a processed version of the observations is transmitted from the sensors to a common node called the fusion center. At some…

We consider the quickest change-point detection problem in pointwise and minimax settings for general dependent data models. Two new classes of sequential detection procedures associated with the maximal "local" probability of a false alarm…

We investigate sequential change point estimation and detection in univariate nonparametric settings, where a stream of independent observations from sub-Gaussian distributions with a common variance factor and piecewise-constant but…