Quickest Change-Point Detection: A Bird's Eye View
Statistics Theory
2013-10-15 v1 Statistics Theory
Abstract
We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a summary of the forefront asymptotic results established in each of the four major formulations of the underlying optimization problem: Bayesian, generalized Bayesian, minimax, and multi-cyclic.
Cite
@article{arxiv.1310.3285,
title = {Quickest Change-Point Detection: A Bird's Eye View},
author = {Aleksey S. Polunchenko and Grigory Sokolov and Wenyu Du},
journal= {arXiv preprint arXiv:1310.3285},
year = {2013}
}
Comments
16 pages, presented at the 2013 Joint Statistical Meetings (JSM-2013), Montreal, Quebec, Canada, 3--8 August 2013