Related papers: Quickest Change Detection in Statistically Periodi…
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…
Optimal algorithms are developed for robust detection of changes in non-stationary processes. These are processes in which the distribution of the data after change varies with time. The decision-maker does not have access to precise…
The problem of detecting changes in the statistical properties of a stochastic system and time series arises in various branches of science and engineering. It has a wide spectrum of important applications ranging from machine monitoring to…
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…
The problem of quickest detection of a change in distribution is considered under the assumption that the pre-change distribution is known, and the post-change distribution is only known to belong to a family of distributions…
We consider the quickest change detection problem where both the parameters of pre- and post- change distributions are unknown, which prevents the use of classical simple hypothesis testing. Without additional assumptions, optimal solutions…
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. Algorithms are proposed to detect changes in such i.p.i.d.…
Theory and algorithms are developed for detecting changes in the distribution of statistically periodic random processes. The statistical periodicity is modeled using independent and periodically identically distributed processes, a new…
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-…
The problem of sequential change diagnosis is considered, where observations are obtained on-line, an abrupt change occurs in their distribution, and the goal is to quickly detect the change and accurately identify the post-change…
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…
In this paper, the problem of quickly detecting an abrupt change on a stochastic process under Bayesian framework is considered. Different from the classic Bayesian quickest change-point detection problem, this paper considers the case…
The problem of quickest detection of dynamic events in networks is studied. At some unknown time, an event occurs, and a number of nodes in the network are affected by the event, in that they undergo a change in the statistics of their…
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,…
In the problem of quickest change detection, a change occurs at some unknown time in the distribution of a sequence of random vectors that are monitored in real time, and the goal is to detect this change as quickly as possible subject to a…
The problem of robust quickest change detection (QCD) in non-stationary processes under a multi-stream setting is studied. In classical QCD theory, optimal solutions are developed to detect a sudden change in the distribution of stationary…
We propose a quickest change detection problem over sensor networks where both the subset of sensors undergoing a change and the local post-change distributions are unknown. Each sensor in the network observes a local discrete time random…
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…
The problem of sequential change diagnosis is considered, where a sequence of independent random elements is accessed sequentially, there is an abrupt change in its distribution at some unknown time, and there are two main operational…
The classical problem of quickest change detection is studied with an additional constraint on the cost of observations used in the detection process. The change point is modeled as an unknown constant, and minimax formulations are proposed…