Related papers: Quickest Change Detection Using Mismatched CUSUM
Power system outages expose market participants to significant financial risk unless promptly detected and hedged. We develop an outage identification method from public market signals grounded in the parametric quickest change detection…
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 by general It\^{o}…
We consider how local and global decision policies interact in stopping time problems such as quickest time change detection. Individual agents make myopic local decisions via social learning, that is, each agent records a private…
The problem of quickest detection of a change in the distribution of a sequence of independent observations is considered. It is assumed that the pre-change distribution is known (accurately estimated), while the only information about the…
We present a geometric version of Quickest Change Detection (QCD) and Quickest Hub Discovery (QHD) tests in correlation structures that allows us to include and combine new information with distance metrics. The topic falls within the scope…
Many industrial and security applications employ a suite of sensors for detecting abrupt changes in temporal behavior patterns. These abrupt changes typically manifest locally, rendering only a small subset of sensors informative.…
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,…
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…
Consider a large number of detectors each generating a data stream. The task is to detect online, distribution changes in a small fraction of the data streams. Previous approaches to this problem include the use of mixture likelihood ratios…
Structural changes occur in dynamic networks quite frequently and its detection is an important question in many situations such as fraud detection or cybersecurity. Real-life networks are often incompletely observed due to individual…
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…
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 investigate the problem of covert quickest change detection in a continuous-time setting, where a Brownian motion experiences a drift change at an unknown time. Unlike classical formulations, we consider a covert adversary who adjusts…
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,…
The problem of quickest growing dynamic anomaly detection in sensor networks is studied. Initially, the observations at the sensors, which are sampled sequentially by the decision maker, are generated according to a pre-change distribution.…
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 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…
In this paper, we not only propose an new optimal sequential test of sum of logarithmic likelihood ratio (SLR) but also present the CUSUM sequential test (control chart, stopping time) with the observation-adjusted control limits…
In this paper, we consider the problem of quickest change point detection and identification over a linear array of $N$ sensors, where the change pattern could first reach any of these sensors, and then propagate to the other sensors. Our…
Detecting abrupt changes in data streams is crucial because they are often triggered by events that have important consequences if left unattended. Quickest change point detection has become a vital sequential analysis primitive that aims…