Related papers: Multivariate L\'evy-type drift change detection an…

This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…

We study the use of spike and slab priors for consistent estimation of the number of change points and their locations. Leveraging recent results in the variable selection literature, we show that an estimator based on spike and slab priors…

We consider the problem of change-point detection in multivariate time-series. The multivariate distribution of the observations is supposed to follow a graphical model, whose graph and parameters are affected by abrupt changes throughout…

The problem of quickest detection of a change in the distribution of a sequence of independent observations is considered. The pre-change observations are assumed to be stationary with a known distribution, while the post-change…

The paper deals with a mathematical model of a surveillance system based on a net of sensors. The signals acquired by each node of the net are Markovian process, have two different transition probabilities, which depends on the presence or…

Existing results for the estimation of the L\'evy measure are mostly limited to the onedimensional setting. We apply the spectral method to multidimensional L\'evy processes in order to construct a nonparametric estimator for the…

We study a continuous time Bayesian quickest detection problem in which observation times are a scarce resource. The agent, limited to making a finite number of discrete observations, must adaptively decide his observation strategy to…

This paper introduces an approach to multi-stream quickest change detection and fault isolation for unnormalized and score-based statistical models. Traditional optimal algorithms in the quickest change detection literature require explicit…

We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…

Changes, planned or unexpected, are common during the execution of real-life processes. Detecting these changes is a must for optimizing the performance of organizations running such processes. Most of the algorithms present in the…

In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…

We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a summary of the forefront asymptotic results established in…

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…

Concept drift is formally defined as the change in joint distribution of a set of input variables X and a target variable y. The two types of drift that are extensively studied are real drift and virtual drift where the former is the change…

We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a L\'{e}vy process when high-frequency observations are given. The estimator is constructed from the time-continuous…

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…

Due to their conjugate posteriors, Gaussian process priors are attractive for estimating the drift of stochastic differential equations with continuous time observations. However, their performance strongly depends on the choice of the…

This paper studies a general L\'evy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in…

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…

The problem of sequentially detecting a moving anomaly which affects different parts of a sensor network with time is studied. Each network sensor is characterized by a non-anomalous and anomalous distribution, governing the generation of…