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Chernoff coefficient is an upper bound of Bayes error probability in classification problem. In this paper, we will develop sharp Chernoff type bound on Bayes error probability. The new bound is not only an upper bound but also a lower…
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,…
Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data…
Statistical models incorporating change points are common in practice, especially in the area of biomedicine. This approach is appealing in that a specific parameter is introduced to account for the abrupt change in the response variable…
The problem of sequentially detecting an abrupt change in a sequence of independent and identically distributed (IID) random variables is addressed. Whereas previous approaches assume a known probability density function (PDF) at the start…
We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness conditions and possibly increasing number of support points for the discrete part of the distribution. For these settings, we…
Methods in the field of quickest change detection rapidly detect in real-time a change in the data-generating distribution of an online data stream. Existing methods have been able to detect this change point when the densities of the pre-…
This paper proposes a new minimum description length procedure to detect multiple changepoints in time series data when some times are a priori thought more likely to be changepoints. This scenario arises with temperature time series…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
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…
The problem of quickest growing dynamic anomaly detection in sensor networks is studied. Initially, the observations at the sensors, which are sampled sequentially by the decision maker, are generated according to a pre-change distribution.…
Nonparametric identification and maximum likelihood estimation for finite-state hidden Markov models are investigated. We obtain identification of the parameters as well as the order of the Markov chain if the transition probability…
This paper addresses the issue of detecting change-points in multivariate time series. The proposed approach differs from existing counterparts by making only weak assumptions on both the change-points structure across series, and the…
The distribution of single Stop Signal Reaction Times (SSRT) in the stop signal task (SST) as a measurement of the latency of the unobservable stopping process has been modeled with a nonparametric method by Hans Colonius (1990) and with a…
A change point problem occurs in many statistical applications. If there exist change points in a model, it is harmful to make a statistical analysis without any consideration of the existence of the change points and the results derived…
We consider the analysis of sets of categorical sequences consisting of piecewise homogeneous Markov segments. The sequences are assumed to be governed by a common underlying process with segments occurring in the same order for each…
We estimate a general mixture of Markov jump processes. The key novel feature of the proposed mixture is that the transition intensity matrices of the Markov processes comprising the mixture are entirely unconstrained. The Markov processes…
The problem of quickest change detection is studied, where there is an additional constraint on the cost of observations used before the change point and where the post-change distribution is composite. Minimax formulations are proposed for…
Consider a sensor network made of remote nodes connected to a common fusion center. In a recent work Blum and Sadler [1] propose the idea of ordered transmissions -sensors with more informative samples deliver their messages first- and…
A method for change point detection is proposed. We consider a univariate sequence of independent random variables with piecewise constant expectation and variance, apart from which the distribution may vary periodically. We aim to detect…