Related papers: Detecting Structural Shifts and Estimating Change-…
The problem of change-point estimation is considered under a general framework where the data are generated by unknown stationary ergodic process distributions. In this context, the consistent estimation of the number of change-points is…
We propose a novel Bayesian framework for changepoint detection in large-scale spherical spatiotemporal data, with broad applicability in environmental and climate sciences. Our approach models changepoints as spatially dependent…
Dealing with Partially Observable Markov Decision Processes is notably a challenging task. We face an average-reward infinite-horizon POMDP setting with an unknown transition model, where we assume the knowledge of the observation model.…
An important assumption in the work on testing for structural breaks in time series consists in the fact that the model is formulated such that the stochastic process under the null hypothesis of "no change-point" is stationary. This…
In this paper, we consider sequential online prediction (SOP) for streaming data in the presence of outliers and change points. We propose an INstant TEmporal structure Learning (INTEL) algorithm to address this problem. Our INTEL algorithm…
Oftentimes in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says that the change is intermittent or transient. We provide an…
We introduce a new method for high-dimensional, online changepoint detection in settings where a $p$-variate Gaussian data stream may undergo a change in mean. The procedure works by performing likelihood ratio tests against simple…
We provide an online framework for analyzing data recorded by smart watches during running activities. In particular, we focus on identifying variations in the behavior of one or more measurements caused by changes in physical condition,…
Stochastic differential equations such as the Ornstein-Uhlenbeck process have long been used to model realworld probablistic events such as stock prices and temperature fluctuations. While statistical methods such as Maximum Likelihood…
Anomaly estimation, or the problem of finding a subset of a dataset that differs from the rest of the dataset, is a classic problem in machine learning and data mining. In both theoretical work and in applications, the anomaly is assumed to…
Changepoints are abrupt variations in the generative parameters of a data sequence. Online detection of changepoints is useful in modelling and prediction of time series in application areas such as finance, biometrics, and robotics. While…
The Reward-Biased Maximum Likelihood Estimate (RBMLE) for adaptive control of Markov chains was proposed to overcome the central obstacle of what is variously called the fundamental "closed-identifiability problem" of adaptive control, the…
Without imposing prior distributional knowledge underlying multivariate time series of interest, we propose a nonparametric change-point detection approach to estimate the number of change points and their locations along the temporal axis.…
Organizations leverage anomaly and changepoint detection algorithms to detect changes in user behavior or service availability and performance. Many off-the-shelf detection algorithms, though effective, cannot readily be used in large…
Linear birth-and-death processes (LBDPs) are foundational stochastic models in population dynamics, evolutionary biology, and hematopoiesis. Estimating parameters from discretely observed data is computationally demanding due to irregular…
Change-point detection and estimation procedures have been widely developed in the literature. However, commonly used approaches in change-point analysis have mainly been focusing on detecting change-points within an entire time series…
This article introduces a novel Bayesian method for asynchronous change-point detection in multivariate time series. This method allows for change-points to occur earlier in some (leading) series followed, after a short delay, by…
The primary objective of this scholarly work is to develop two estimation procedures - maximum likelihood estimator (MLE) and method of trimmed moments (MTM) - for the mean and variance of lognormal insurance payment severity data sets…
This paper studies the generalization of the targeted minimum loss-based estimation (TMLE) framework to estimation of effects of time-varying interventions in settings where both interventions, covariates, and outcome can happen at…
We consider the problem of learning in a non-stationary reinforcement learning (RL) environment, where the setting can be fully described by a piecewise stationary discrete-time Markov decision process (MDP). We introduce a variant of the…