Related papers: Asymptotically Optimal Quickest Change Detection I…
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…
Modern information systems generate large volumes of data with anomalies that occur at unknown points in time and have to be detected quickly and reliably with low false alarm rates. The paper develops a general theory of quickest…
This paper considers the constrained sampling multi-stream quickest change detection problem, also known as the bandit quickest change detection problem. One stream contains a change-point that shifts its mean by an unknown amount. The goal…
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…
We develop a mixture procedure to monitor parallel streams of data for a change-point that affects only a subset of them, without assuming a spatial structure relating the data streams to one another. Observations are assumed initially to…
We develop a mixture procedure for multi-sensor systems to monitor data streams for a change-point that causes a gradual degradation to a subset of the streams. Observations are assumed to be initially normal random variables with known…
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,…
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…
The quickest change detection problem is considered in the context of monitoring large-scale independent normal distributed data streams with possible changes in some of the means. It is assumed that for each individual local data stream,…
The paper addresses a joint sequential changepoint detection and identification/isolation problem for a general stochastic model, assuming that the observed data may be dependent and non-identically distributed, the prior distribution of…
In this paper, we study the quickest change detection with mismatched post-change models. A change point is the time instant at which the distribution of a random process changes. The objective of quickest change detection is to minimize…
In this paper, the problem of quickly detecting an abrupt change on a stochastic process under Bayesian framework is considered. Different from the classic Bayesian quickest change-point detection problem, this paper considers the case…
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…
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 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…
The gist of the quickest change-point detection problem is to detect the presence of a change in the statistical behavior of a series of sequentially made observations, and do so in an optimal detection-speed-vs.-"false-positive"-risk…
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…
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…
This paper considers the detection of change points in parallel data streams, a problem widely encountered when analyzing large-scale real-time streaming data. Each stream may have its own change point, at which its data has a…
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…