Related papers: An CUSUM Test with Observation-Adjusted Control Li…
We show optimality, in a well-defined sense, using cumulative sum (CUSUM) charts for detecting changes in distributions. We consider a setting with multiple changes between two known distributions. This result advocates the use of…
Sequential change-point detection in non-Gaussian stochastic processes is challenging because the underlying densities are rarely known in real time. Classical parametric procedures such as CUSUM lose optimality under distributional…
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…
We establish a simple connection between certain in-control characteristics of the CUSUM Run Length and their out-of-control counterparts. The connection is in the form of paired integral (renewal) equations. The derivation exploits Wald's…
The aim of online monitoring is to issue an alarm as soon as there is significant evidence in the collected observations to suggest that the underlying data generating mechanism has changed. This work is concerned with open-end,…
The problem of quickest change detection in a sequence of independent observations is considered. The pre-change distribution is assumed to be known, while the post-change distribution is unknown. Two tests based on post-change density…
This paper addresses the problem of detecting changes when only unnormalized pre- and post-change distributions are accessible. This situation happens in many scenarios in physics such as in ferromagnetism, crystallography,…
We present a distribution-free CUSUM procedure designed for online change detection in a time series of low-rank images, particularly when the change causes a mean shift. We represent images as matrix data and allow for temporal dependence,…
CUSUMs based on the signed sequential ranks of observations are developed for detecting location and scale changes in symmetric distributions. The CUSUMs are distribution free and fully self-starting: given a specified in-control median and…
In this paper, two tests, based on CUSUM of the residuals and least squares estimation, are studied to detect in real time a change-point in a nonlinear model. A first test statistic is proposed by extension of a method already used in the…
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…
This paper investigates change-point of variance in panel data models with time series of $\alpha$-mixing. Based on the cumulative sum (CUSUM) method and the individual differences, we construct a CUSUM test for panel data models to detect…
In this work, we aim to provide a new and efficient recursive detection method for temporarily monitored signals. Motivated by the case of the propagation of an event over a field of sensors, we assumed that the change in the statistical…
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…
We consider the sequential change-point detection for asynchronous multi-sensors, where each sensor observe a signal (due to change-point) at different times. We propose an asynchronous Subspace-CUSUM procedure based on jointly estimating…
The behavior of CUSUM charts depends strongly on how they are initialized. Recent work has suggested that self-starting CUSUM methods retain some dependence on their very first readings, and introduced the concept of "conditional average…
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…
Most studies in real time change-point detection either focus on the linear model or use the CUSUM method under classical assumptions on model errors. This paper considers the sequential change-point detection in a nonlinear quantile model.…
We develop methodology to detect structural breaks in the slope function of a concurrent functional linear regression model for functional time series in $C[0,1]$. Our test is based on a CUSUM process of regressor-weighted OLS residual…
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…