Related papers: Practical properties of the CUSUM process
The cumulative sum (CUSUM) process is often used in change point analysis to detect changes in the mean of sequentially observed data. We provide a full description of the asymptotic distribution of $L^p, 1\leq p <\infty$, functionals of…
Gaussian random processes which variances reach theirs maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximums of theirs trajectories have been evaluated using Double Sum Method…
Detecting abrupt changes in real-time data streams from scientific simulations presents a challenging task, demanding the deployment of accurate and efficient algorithms. Identifying change points in live data stream involves continuous…
Quickest change detection (QCD) is a fundamental problem in many applications. Given a sequence of measurements that exhibits two different distributions around a certain flipping point, the goal is to detect the change in distribution…
In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change…
We study the parametric online changepoint detection problem, where the underlying distribution of the streaming data changes from a known distribution to an alternative that is of a known parametric form but with unknown parameters. We…
We investigate sequential change point estimation and detection in univariate nonparametric settings, where a stream of independent observations from sub-Gaussian distributions with a common variance factor and piecewise-constant but…
We present a new CUSUM procedure for sequentially detecting change-point in the self and mutual exciting processes, a.k.a. Hawkes networks using discrete events data. Hawkes networks have become a popular model for statistics and machine…
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,…
In this paper the asymptotic distribution of the stopping time in Page's sequential cumulative sum (CUSUM) procedure is presented. Page as well as ordinary cumulative sums are considered as detectors for changes in the mean of observations…
Computationally inexpensive algorithm for detecting of dispersed transients has been developed using Cumulative Sums (CUSUM) scheme for detecting abrupt changes in statistical characteristics of the signal. The efficiency of the algorithm…
Online change detection involves monitoring a stream of data for changes in the statistical properties of incoming observations. A good change detector will detect any changes shortly after they occur, while raising few false alarms.…
Random point patterns are ubiquitous in nature, and statistical models such as point processes, i.e., algorithms that generate stochastic collections of points, are commonly used to simulate and interpret them. We propose an application of…
We present a computationally efficient online kernel Cumulative Sum (CUSUM) method for change-point detection that utilizes the maximum over a set of kernel statistics to account for the unknown change-point location. Our approach exhibits…
Recent research has demonstrated that quantum computers can solve certain types of problems substantially faster than the known classical algorithms. These problems include factoring integers and certain physics simulations. Practical…
Continuous-time stochastic processes pervade everyday experience, and the simulation of models of these processes is of great utility. Classical models of systems operating in continuous-time must typically track an unbounded amount of…
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…
It is well known that the conventional cumulative sum (CUSUM) test suffers from low power and large detection delay. In order to improve the power of the test, we propose two alternative statistics. The backward CUSUM detector considers the…
We introduce a new Levy fluctuation theoretic method to analyze the cumulative sum (CUSUM) procedure in sequential change-point detection. When observations are phase-type distributed and the post-change distribution is given by exponential…
In this paper we consider change-points in multiple sequences with the objective of minimizing the estimation error of a sequence by making use of information from other sequences. This is in contrast to recent interest on change-points in…