Related papers: Quickest Change Detection with Post-Change Density…
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…
The popular criteria of optimality for quickest change detection procedures are the Lorden criterion, the Shiryaev-Roberts-Pollak criterion, and the Bayesian criterion. In this paper a robust version of these quickest change detection…
We study the problem of covert quickest change detection in a discrete-time setting, where a sequence of observations undergoes a distributional change at an unknown time. Unlike classical formulations, we consider a covert adversary who…
Algorithms are developed for the quickest detection of a change in statistically periodic processes. These are processes in which the statistical properties are nonstationary but repeat after a fixed time interval. It is assumed that the…
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…
Classical quickest change detection algorithms require modeling pre-change and post-change distributions. Such an approach may not be feasible for various machine learning models because of the complexity of computing the explicit…
The problem of quickest change detection (QCD) in anonymous heterogeneous sensor networks is studied. There are $n$ heterogeneous sensors and a fusion center. The sensors are clustered into $K$ groups, and different groups follow different…
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,…
The field of quickest change detection (QCD) concerns design and analysis of algorithms to estimate in real time the time at which an important event takes place and identify properties of the post-change behavior. The goal is to devise a…
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,…
A finite horizon variant of the quickest change detection problem is studied, in which the goal is to minimize a delay threshold (latency), under constraints on the probability of false alarm and the probability that the latency is…
The problem of quickest detection of a change in the distribution of a $n\times p$ random matrix based on a sequence of observations having a single unknown change point is considered. The forms of the pre- and post-change distributions of…
We consider detecting change points in the correlation structure of streaming data with minimum assumptions posed on the underlying data distribution. Detection statistics are constructed for dense and sparse change settings, based on…
In the sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution $f_{\theta}$ and tries to minimize the detection delay for every possible post-change…
Model change detection is studied, in which there are two sets of samples that are independently and identically distributed (i.i.d.) according to a pre-change probabilistic model with parameter $\theta$, and a post-change model with…
Recent attention in quickest change detection in the multi-sensor setting has been on the case where the densities of the observations change at the same instant at all the sensors due to the disruption. In this work, a more general…
This paper presents DRE-CUSUM, an unsupervised density-ratio estimation (DRE) based approach to determine statistical changes in time-series data when no knowledge of the pre-and post-change distributions are available. The core idea behind…
Quickest change point detection is concerned with the detection of statistical change(s) in sequences while minimizing the detection delay subject to false alarm constraints. In this paper, the problem of change point detection is studied…
We study the change detection problem with an unknown post-change distribution. Under this constraint, the unknown change in the distribution of observations may occur in many ways without much structure on the observations, whereas, before…
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…