相关论文: Sequentially Updated Residuals and Detection of St…

When analysing time series an important issue is to decide whether the time series is stationary or a random walk. Relaxing these notions, we consider the problem to decide in favor of the I(0)- or I(1)-property. Fixed-sample statistical…

The problem of sequential anomaly detection and identification is considered, where multiple data sources are simultaneously monitored and the goal is to identify in real time those, if any, that exhibit ``anomalous" statistical behavior.…

We develop an anomaly-detection method when systematic anomalies, possibly statistically very similar to genuine inputs, are affecting control systems at the input and/or output stages. The method allows anomaly-free inputs (i.e., those…

In this paper we propose a new approach for sequential monitoring of a parameter of a $d$-dimensional time series, which can be estimated by approximately linear functionals of the empirical distribution function. We consider a…

Monitoring economic conditions and financial stability with an early warning system serves as a prevention mechanism for unexpected economic events. In this paper, we investigate the statistical performance of sequential break-point…

Non-linear renewal theory is extended to include random walks perturbed by both a slowly changing sequence and a stationary one. Main results include a version of the Key Renewal Theorem, a derivation of the limiting distribution of the…

Aiming at monitoring a time series to detect stationarity as soon as possible, we introduce monitoring procedures based on kernel-weighted sequential Dickey-Fuller (DF) processes, and related stopping times, which may be called weighted…

We tackle the stationarity issue of an autoregressive path with a polynomial trend, and we generalize some aspects of the LMC test, the testing procedure of Leybourne and McCabe. First, we show that it is possible to get the asymptotic…

We prove a sequence of limiting results about weakly dependent stationary and regularly varying stochastic processes in discrete time. After deducing the limiting distribution for individual clusters of extremes, we present a new type of…

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its…

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…

We study a class of discrete-time random walks in $\mathbb{R}^d$ whose conditional drift decays polynomially in time and grows polynomially with the distance from the origin to the current position. This class is related to several models…

The aim of sequential change-point detection is to issue an alarm when it is thought that certain probabilistic properties of the monitored observations have changed. This work is concerned with nonparametric, closed-end testing procedures…

We consider random variables observed at arrival times of a renewal process, which possibly depends on those observations and has regularly varying steps with infinite mean. Due to the dependence and heavy tailed steps, the limiting…

Process Monitoring involves tracking a system's behaviors, evaluating the current state of the system, and discovering interesting events that require immediate actions. In this paper, we consider monitoring temporal system state sequences…

We revisit classical asymptotics when testing for a structural break in linear regression models by obtaining the limit theory of residual-based and Wald-type processes. First, we establish the Brownian bridge limiting distribution of these…

This paper is concerned with deriving the limit distributions of stopping times devised to sequentially uncover structural breaks in the parameters of an autoregressive moving average, ARMA, time series. The stopping rules are defined as…

In the study of dynamical processes on networks, there has been intense focus on network structure -- i.e., the arrangement of edges and their associated weights -- but the effects of the temporal patterns of edges remains poorly…

We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…

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,…