Related papers: Signed Sequential Rank Shiryaev-Roberts Schemes
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…
Let \xi_0,\xi_1,...,\xi_{\omega-1} be observations from the hidden Markov model with probability distribution P^{\theta_0}, and let \xi_{\omega},\xi_{\omega+1},... be observations from the hidden Markov model with probability distribution…
This paper considers the change-point problem for finite sequences of networks. To avoid the difficulty of computing the normalization coefficient, such as in Exponential random graphical models (ERGMs) and Markov networks, we construct a…
In 1985, for detecting a change in distribution, Pollak introduced a specific minimax performance metric and a randomized version of the Shiryaev-Roberts procedure where the zero initial condition is replaced by a random variable sampled…
This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different…
We consider change-point tests based on rank statistics to test for structural changes in long-range dependent observations. Under the hypothesis of stationary time series and under the assumption of a change with decreasing change-point…
Several variations of the Shiryaev-Roberts detection procedure in the context of the simple changepoint problem are considered: starting the procedure at $R_0=0$ (the original Shiryaev-Roberts procedure), at $R_0=r$ for fixed $r>0$, and at…
Control charts for process monitoring are widely used in practice. Most control charts require the monitored (residuals) process to be serially independent (and to satisfy specified distributional assumptions), whereas undetected dependence…
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…
Assume that there are multiple data streams (channels, sensors) and in each stream the process of interest produces generally dependent and non-identically distributed observations. When the process is in a normal mode (in-control), the…
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.…
The sequential analysis of series often requires nonparametric procedures, where the most powerful ones frequently use rank transformations. Re-ranking the data sequence after each new observation can become too intensive computationally.…
This paper proposes a new test for a change point in the mean of high-dimensional data based on the spatial sign and self-normalization. The test is easy to implement with no tuning parameters, robust to heavy-tailedness and theoretically…
Distribution regression refers to the supervised learning problem where labels are only available for groups of inputs instead of individual inputs. In this paper, we develop a rigorous mathematical framework for distribution regression…
We develop a monitoring procedure to detect changes in a large approximate factor model. Letting $r$ be the number of common factors, we base our statistics on the fact that the $\left( r+1\right) $-th eigenvalue of the sample covariance…
In this paper, I propose a general procedure for multivariate distribution-free nonparametric testing derived from the concept of ranks that are based upon measure transportation in the context of multiple change point analysis. I will use…
The question whether a time series behaves as a random walk or as a station- ary process is an important and delicate problem, particularly arising in financial statistics, econometrics, and engineering. This paper studies the problem to…
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…
In this paper is discussed an application of signed measures (charges) to description of segment and chord length distributions in nonconvex bodies. The signed distribution may naturally appears due to definition via derivatives of…
We investigate the online detection of changepoints in the distribution of a sequence of observations using degenerate U-statistic-type processes. We study weighted versions of: an ordinary, CUSUM-type scheme, a Page-CUSUM-type scheme, and…