相关论文: On Robustness of the Shiryaev-Roberts Procedure fo…

We propose a numerical method to evaluate the performance of the emerging Generalized Shiryaev--Roberts (GSR) change-point detection procedure in a "minimax-ish" multi-cyclic setup where the procedure of choice is applied repetitively…

Change-of-measure is a powerful technique used across statistics, probability and analysis. Particularly known as Wald's likelihood ratio identity, the technique enabled the proof of a number of exact and asymptotic optimality results…

Assume that there are multiple data streams (channels, sensors) and in each stream the process of interest produces generally dependent and non-identically distributed observations. When the process is in a normal mode (in-control), the…

We consider the simple changepoint problem setting, where observations are independent, iid pre-change and iid post-change, with known pre- and post-change distributions. The Shiryaev-Roberts detection procedure is known to be…

We consider a sequential Bayesian changepoint detection problem for a general stochastic model, assuming that the observed data may be dependent and non-identically distributed and the prior distribution of the change point is arbitrary,…

In this paper, we study the quickest change detection with mismatched post-change models. A change point is the time instant at which the distribution of a random process changes. The objective of quickest change detection is to minimize…

We consider the problem of efficient on-line anomaly detection in computer network traffic. The problem is approached statistically, as that of sequential (quickest) changepoint detection. A multi-cyclic setting of quickest change detection…

A weighted Shiryaev-Roberts change detection procedure is shown to approximately minimize the expected delay to detection as well as higher moments of the detection delay among all change-point detection procedures with the given low…

In this paper, the problem of quickly detecting an abrupt change on a stochastic process under Bayesian framework is considered. Different from the classic Bayesian quickest change-point detection problem, this paper considers the case…

We consider the problem of efficient financial surveillance aimed at "on-the-go" detection of structural breaks (anomalies) in "live"-monitored financial time series. With the problem approached statistically, viz. as that of multi-cyclic…

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…

The paper addresses a sequential changepoint detection problem for a general stochastic model, assuming that the observed data may be non-i.i.d. (i.e., dependent and non-identically distributed) and the prior distribution of the change…

The problem of detecting a change in the drift of a Brownian motion is considered. The change point is assumed to have a modified exponential prior distribution with unknown parameters. A worst-case analysis with respect to these parameters…

We consider the quickest change-point detection problem where the aim is to detect the onset of a pre-specified drift in "live"-monitored standard Brownian motion; the change-point is assumed unknown (nonrandom). The object of interest is…

We consider the quickest change-point detection problem in pointwise and minimax settings for general dependent data models. Two new classes of sequential detection procedures associated with the maximal "local" probability of a false alarm…

This paper investigates change point detection in state space models, in which the pre-change distribution $f^{\theta_0}$ is given, while the poster distribution $f^{\theta}$ after change is unknown. The problem is to raise an alarm as soon…

Several variations of the Shiryaev-Roberts detection procedure in the context of the simple changepoint problem are considered: starting the procedure at $R_0=0$ (the original Shiryaev-Roberts procedure), at $R_0=r$ for fixed $r>0$, and at…

The problem of quickest detection of a change in the distribution of a sequence of random variables is studied. The objective is to detect the change with the minimum possible delay, subject to constraints on the rate of false alarms and…

We consider the problem of quickest change-point detection where the observations form a first-order autoregressive (AR) process driven by temporally independent standard Gaussian noise. Subject to possible change are both the drift of the…

For the most popular sequential change detection rules such as CUSUM, EWMA, and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics, including average detection…