Related papers: Quickest Change Detection in Autoregressive Models
In the present paper we address the real-time detection problem of a change-point in the coefficients of a linear model with the possibility that the model errors are asymmetrical and that the explanatory variables number is large. We build…
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…
The paper addresses a sequential changepoint detection problem, assuming that the duration of change may be finite and unknown. This problem is of importance for many applications, e.g., for signal and image processing where signals appear…
The detection of anomalies in non-stationary time-series streams is a critical but challenging task across numerous industrial and scientific domains. Traditional models, trained offline, suffer significant performance degradation when…
We propose a first-order autoregressive (i.e. AR(1)) model for dynamic network processes in which edges change over time while nodes remain unchanged. The model depicts the dynamic changes explicitly. It also facilitates simple and…
Deep learning methods for unsupervised registration often rely on objectives that assume a uniform noise level across the spatial domain (e.g. mean-squared error loss), but noise distributions are often heteroscedastic and input-dependent…
Change point detection in high dimensional data has found considerable interest in recent years. Most of the literature either designs methodology for a retrospective analysis, where the whole sample is already available when the…
Change point detection (CPD) aims to locate abrupt property changes in time series data. Recent CPD methods demonstrated the potential of using deep learning techniques, but often lack the ability to identify more subtle changes in the…
The real-time prediction of chaotic systems requires a nonlinear-reduced order model (ROM) to forecast the dynamics, and a stream of data from sensors to update the ROM. Data-driven ROMs are typically built with a two-step strategy: data…
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,…
The Hidden Markov Model (HMM) is one of the most widely used statistical models for sequential data analysis. One of the key reasons for this versatility is the ability of HMM to deal with missing data. However, standard HMM learning…
This work considers the problem of quickest detection of signals in a coupled system of N sensors, which receive continuous sequential observations from the environment. It is assumed that the signals, which are modeled a general Ito…
A novel first-order autoregressive moving average model for analyzing discrete-time series observed at irregularly spaced times is introduced. Under Gaussianity, it is established that the model is strictly stationary and ergodic. In the…
Hidden Markov models (HMMs) are characterized by an unobservable Markov chain and an observable process -- a noisy version of the hidden chain. Decoding the original signal from the noisy observations is one of the main goals in nearly all…
Detecting change-points in data is challenging because of the range of possible types of change and types of behaviour of data when there is no change. Statistically efficient methods for detecting a change will depend on both of these…
In a recent article (Proc. Natl. Acad. Sci., 110(36), 14557-14562), El Karoui et al. study the distribution of robust regression estimators in the regime in which the number of parameters p is of the same order as the number of samples n.…
We introduce a comprehensive framework for the detection and demodulation of covert electromagnetic signals using solid-state spin sensors. Our approach, named RAPID, is a two-stage hybrid strategy that leverages nitrogen-vacancy (NV)…
We consider Markov models of stochastic processes where the next-step conditional distribution is defined by a kernel density estimator (KDE), similar to Markov forecast densities and certain time-series bootstrap schemes. The KDE Markov…
Whilst there are a plethora of algorithms for detecting changes in mean in univariate time-series, almost all struggle in real applications where there is autocorrelated noise or where the mean fluctuates locally between the abrupt changes…
The accuracy of the Arthurs-Kelly model of a simultaneous measurement of position and momentum is analysed using concepts developed by Braginsky and Khalili in the context of measurements of a single quantum observable. A distinction is…