Related papers: Optimal Sequential Tests for Monitoring Changes in…
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 sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better…
Suppose that at any stage of a statistical experiment a control variable $X$ that affects the distribution of the observed data $Y$ can be used. The distribution of $Y$ depends on some unknown parameter $\theta$, and we consider the…
This paper provides a statistical method to test whether a system that performs a binary sequential hypothesis test is optimal in the sense of minimizing the average decision times while taking decisions with given reliabilities. The…
In this paper, we not only propose an new optimal sequential test of sum of logarithmic likelihood ratio (SLR) but also present the CUSUM sequential test (control chart, stopping time) with the observation-adjusted control limits…
The problem of simultaneously testing the marginal distributions of sequentially monitored, independent data streams is considered. The decisions for the various testing problems can be made at different times, using data from all streams,…
We consider sequential hypothesis testing based on observations which are received in groups of random size. The observations are assumed to be independent both within and between the groups. We assume that the group sizes are independent…
This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is…
Sequential estimation of a vector of linear regression coefficients is considered under both centralized and decentralized setups. In sequential estimation, the number of observations used for estimation is determined by the observed…
Recent years have seen tremendous advances in the theory and application of sequential experiments. While these experiments are not always designed with hypothesis testing in mind, researchers may still be interested in performing tests…
Consider the problem on sequential change-point detection on multiple data streams. We provide the asymptotic lower bounds of the detection delays at all levels of change-point sparsity and we derive a smaller asymptotic lower bound of the…
We propose new concepts in order to analyze and model the dependence structure between two time series. Our methods rely exclusively on the order structure of the data points. Hence, the methods are stable under monotone transformations of…
Suppose that at any stage of a statistical experiment a control variable $X$ that affects the distribution of the observed data $Y$ at this stage can be used. The distribution of $Y$ depends on some unknown parameter $\theta$, and we…
The problem of multi-hypothesis testing with controlled sensing of observations is considered. The distribution of observations collected under each control is assumed to follow a single-parameter exponential family distribution. The goal…
The problem of sequential anomaly detection and identification is considered, where multiple data sources are simultaneously monitored and the goal is to identify in real time those, if any, that exhibit ``anomalous" statistical behavior.…
In this paper, we propose an new the CUSUM sequential test (control chart, stopping time) with the observation-adjusted control limits (CUSUM-OAL) for monitoring quickly and adaptively the change in distribution of a sequential…
While the design of optimal peak-to-peak controllers/observers for linear systems is known to be a difficult problem, this problem becomes interestingly much easier in the context of interval observers because of the positive nature of the…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
The problem of joint sequential detection and isolation is considered in the context of multiple, not necessarily independent, data streams. A multiple testing framework is proposed, where each hypothesis corresponds to a different subset…
We revisit the problem of statistical sequence matching initiated by Unnikrishnan (TIT 2015) and derive theoretical performance guarantees for sequential tests that have bounded expected stopping times. Specifically, in this problem, one is…