Asymptotically optimal methods of change-point detection for composite hypotheses

DOI10.1016/J.JSPI.2004.01.007MaRDI QIDQ556442zbMATH OpenOpenAlexFDO

Authors Boris Brodsky, B. S. Darkhovskij

Publication date 13 June 2005

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2004.01.007

zbMATH Keywords

Change-point problemComposite hypotheses

Mathematics Subject Classification ID

Compound decision problems in statistical decision theory (62C25) Optimal stopping in statistics (62L15)

Recommendations

• Sequential change-point detection for mixing random sequences under composite hypotheses
• Asymptotically optimal methods in a problem for the fastest detection of a change point. I: Characteristics of methods for the fastest detection of a change point
• Asymptotically optimal methods in a problem of the fastest detection of a change point. II: Studies of fastest detection methods
• Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
• Asymptotically optimal methods of early change-point detection

Cites work

• A Bayes Approach to a Quality Control Model
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• Information bounds and quick detection of parameter changes in stochastic systems
• Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution
• Sequential analysis: Some classical problems and new challenges. (With comments and rejoinder).
• Sequential multiple hypothesis testing and efficient fault detection-isolation in stochastic systems
• Using the generalized likelihood ratio statistic for sequential detection of a change-point

Cited in

(14)

• Asymptotically optimal methods in a problem for the fastest detection of a change point. I: Characteristics of methods for the fastest detection of a change point
• Asymptotically optimal methods in a problem of the fastest detection of a change point. II: Studies of fastest detection methods
• Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
• Asymptotics of sums of regression residuals under multiple ordering of regressors
• Multivariate Kendall's tau for change-point detection in copulas
• Sequential Change-Point Detection in State-Space Models
• Change-point problem for high-order Markov chain
• Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
• Sequential Detection of Change-Points in Linear Models
• Asymptotically optimal methods of early change-point detection
• Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
• Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
• Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
• Sequential change-point detection for mixing random sequences under composite hypotheses

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