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The problem of sequential anomaly detection is considered, where multiple data sources are monitored in real time and the goal is to identify the "anomalous" ones among them, when it is not possible to sample all sources at all times. A…
This paper uses the generator approach of Stein's method to analyze the gap between steady-state distributions of Markov chains and diffusion processes. Until now, the standard way to invoke Stein's method for this problem was to use the…
We address the sequential change-point detection problem for the Gaussian model where baseline distribution is Gaussian with variance \sigma^2 and mean \mu such that \sigma^2=a\mu, where a>0 is a known constant; the change is in \mu from…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
Change point detection is becoming increasingly popular in many application areas. On one hand, most of the theoretically-justified methods are investigated in an ideal setting without model violations, or merely robust against identical…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
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…
In this paper we analyze the probability of consistency of sensor data distribution systems (SDDS), and determine suitable evaluation models. This problem is typically difficult, since a reliable model taking into account all parameters and…
A novel approach is suggested for improving the accuracy of fault detection in distribution networks. This technique combines adaptive probability learning and waveform decomposition to optimize the similarity of features. Its objective is…
For sequential data, a change point is a moment of abrupt regime switch in data streams. Such changes appear in different scenarios, including simpler data from sensors and more challenging video surveillance data. We need to detect…
Sequential (online) change-point detection involves continuously monitoring time-series data and triggering an alarm when shifts in the data distribution are detected. We propose an algorithm for real-time identification of alterations in…
The increasing deployment of distribution-level phasor measurement units (PMUs) calls for dynamic distribution state estimation (DDSE) approaches that tap into high-rate measurements to maintain a comprehensive view of the…
The recent introduction of synchrophasor technology into power distribution systems has given impetus to various monitoring, diagnostic, and control applications, such as system identification and event detection, which are crucial for…
Changes in the statistical properties of a stochastic process are typically assumed to occur via change-points, which demark instantaneous moments of complete and total change in process behavior. In cases where these transitions occur…
Online detection of instantaneous changes in the generative process of a data sequence generally focuses on retrospective inference of such change points without considering their future occurrences. We extend the Bayesian Online Change…
We investigate the online detection of changepoints in the distribution of a sequence of observations using degenerate U-statistic-type processes. We study weighted versions of: an ordinary, CUSUM-type scheme, a Page-CUSUM-type scheme, and…
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…
We present a new method for detecting superdiffusive behaviour and for determining rates of superdiffusion in time series data. Our method applies equally to stochastic and deterministic time series data (with no prior knowledge required of…
Process monitoring and control requires detection of structural changes in a data stream in real time. This article introduces an efficient sequential Monte Carlo algorithm designed for learning unknown changepoints in continuous time. The…
The measurement problem for the optical phase has been traditionally attacked for noiseless schemes or in the presence of amplitude or detection noise. Here we address estimation of phase in the presence of phase diffusion and evaluate the…