相关论文: Asymptotic Optimality in Bayesian Change-Point Det…

We show that the optimal decision policy for several types of Bayesian sequential detection problems has a threshold switching curve structure on the space of posterior distributions. This is established by using lattice programming and…

Hierarchical Bayesian models are increasingly used in large, inhomogeneous complex network dynamical systems by modeling parameters as draws from a hyperparameter-governed distribution. However, theoretical guarantees for these estimates as…

Ultrafast dynamical processes in photoexcited molecules can be observed with pump-probe measurements, in which information about the dynamics is obtained from the transient signal associated with the excited state. Background signals…

We propose a quickest change detection problem over sensor networks where both the subset of sensors undergoing a change and the local post-change distributions are unknown. Each sensor in the network observes a local discrete time random…

We present a novel Bayesian approach to analysing multiple time-series with the aim of detecting abnormal regions. These are regions where the properties of the data change from some normal or baseline behaviour. We allow for the…

We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of multivariate or non-Euclidean observations. We study a nonparametric framework that utilizes similarity information…

The problem of detecting anomalies in multiple processes is considered. We consider a composite hypothesis case, in which the measurements drawn when observing a process follow a common distribution with an unknown parameter (vector), whose…

Approximate Bayesian computation (ABC) is a popular technique for approximating likelihoods and is often used in parameter estimation when the likelihood functions are analytically intractable. Although the use of ABC is widespread in many…

Let $X_1,X_2,\ldots $ be independent random variables observed sequentially and such that $X_1,\ldots,X_{\theta-1}$ have a common probability density $p_0$, while $X_\theta,X_{\theta+1},\ldots $ are all distributed according to $p_1\neq…

We consider a popular online change-point problem of detecting a transient change in distributions of i.i.d. random variables. For this change-point problem, several change-point procedures are formulated and some advanced results for a…

In Bayesian statistics, many problems can be expressed as the evaluation of the expectation of a quantity of interest with respect to the posterior distribution. Standard Monte Carlo method is often not applicable because the encountered…

This paper presents a general stochastic model developed for a class of cooperative wireless relay networks, in which imperfect knowledge of the channel state information at the destination node is assumed. The framework incorporates…

Methods for unsupervised anomaly detection suffer from the fact that the data is unlabeled, making it difficult to assess the optimality of detection algorithms. Ensemble learning has shown exceptional results in classification and…

A parameter estimation problem is considered, in which dispersed sensors transmit to the statistician partial information regarding their observations. The sensors observe the paths of continuous semimartingales, whose drifts are linear…

We study sequential multiple testing with independent data streams, where the goal is to identify an unknown subset of signals while controlling commonly used error metrics, including generalized familywise rates and false discovery and…

Sliding window detectors are non-coherent decision processes, designed in an attempt to control the probability of false alarm, for application to radar target detection. In earlier low resolution radar systems it was possible to specify…

We consider the optimal stopping problem $v^{(\eps)}:=\sup_{\tau\in\mathcal{T}_{0,T}}\mathbb{E}B_{(\tau-\eps)^+}$ posed by Shiryaev at the International Conference on Advanced Stochastic Optimization Problems organized by the Steklov…

We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to…

We develop a novel Empirical Bayes methodology for prediction under check loss in high-dimensional Gaussian models. The check loss is a piecewise linear loss function having differential weights for measuring the amount of underestimation…

With a Bayesian approach, the linear optics correction algorithm for storage rings is revisited. Starting from the Bayes' theorem, a complete linear optics model is simplified as "likelihood functions" and "prior probability distributions".…