Related papers: On the Informativeness of Measurements in Shiryaev…
In the previous papers (Kui\'{c} et al. in Found Phys 42:319-339, 2012; Kui\'{c} in arXiv:1506.02622, 2015), it was demonstrated that applying the principle of maximum information entropy by maximizing the conditional information entropy,…
Online detection of changes in stochastic systems, referred to as sequential change detection or quickest change detection, is an important research topic in statistics, signal processing, and information theory, and has a wide range of…
The problem of quickest detection of a change in the mean of a sequence of independent observations is studied. The pre-change distribution is assumed to be stationary, while the post-change distributions are allowed to be non-stationary.…
We study a sparse Sachdev-Ye-Kitaev (SYK) model with $N$ Majoranas where only $\sim k N$ independent matrix elements are non-zero. We identify a minimum $k \gtrsim 1$ for quantum chaos to occur by a level statistics analysis. The spectral…
It is commonly required to detect change points in sequences of random variables. In the most difficult setting of this problem, change detection must be performed sequentially with new observations being constantly received over time.…
For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics, including average detection…
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…
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 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…
The problem of quickest change detection (QCD) in anonymous heterogeneous sensor networks is studied. There are $n$ heterogeneous sensors and a fusion center. The sensors are clustered into $K$ groups, and different groups follow different…
We derive, in the classical framework of Bayesian sensitivity analysis, optimal lower and upper bounds on posterior values obtained from Bayesian models that exactly capture an arbitrarily large number of finite-dimensional marginals of the…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…
We study the problem of quickest detection of a change in the mean of an observation sequence, under the assumption that both the pre- and post-change distributions have bounded support. We first study the case where the pre-change…
Change-of-measure is a powerful technique used across statistics, probability and analysis. Particularly known as Wald's likelihood ratio identity, the technique enabled the proof of a number of exact and asymptotic optimality results…
This work develops tools to understand how quantum information spreads, scrambles, and is reshaped by measurements in many-body systems. First, I study scrambling and pseudorandomness in the Brownian Sachdev-Ye-Kitaev (SYK) model,…
Bayesian methods have been very successful in quantifying uncertainty in physics-based problems in parameter estimation and prediction. In these cases, physical measurements y are modeled as the best fit of a physics-based model…
There is a lack of methodological results for continuous time change detection due to the challenges of noninformative prior specification and efficient posterior inference in this setting. Most methodologies to date assume data are…
The purpose of this note is to show that in a widely cited paper by Yakir [Ann. Statist. 25 (1997) 2117--2126, doi:10.1214/aos/1069362390], the proof that the so-called modified Shiryayev--Roberts procedure is exactly optimal is incorrect.…
Rapid detection of spatial events that propagate across a sensor network is of wide interest in many modern applications. In particular, in communications, radar, IoT, environmental monitoring, and biosurveillance, we may observe…
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…