Asymptotically optimal methods of early change-point detection
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Abstract: This paper deals with the problem of asymptotically optimal detection of changes in regime-switching stochastic models. We need to divide the whole obtained sample of data into several sub-samples with observations belonging to different states of a stochastic models with switching regimes. For this purpose, the idea of reduction to a corresponding change-point detection problem is used. Both univariate and multivariate switching models are considered. For the univariate case, we begin with the study of binary mixtures of probabilistic distributions. In theorems 1 and 2 we prove that type 1 and type 2 errors of the proposed method converge to zero exponentially as the sample size tends to infinity. In theorem 3 we prove that the proposed method is asymptotically optimal by the rate of this convergence in the sense that the lower bound in the a priori informational inequality is attained for our method. Several generalizations to the case of multiple univariate mixtures of probabilistic distributions are considered. For the multivariate case, we first study the general problem of classification of the whole array of data into several sub-arrays of observations from different regimes of a multivariate stochastic model with switching states. Then we consider regression models with abnormal observations and switching sets of regression coefficients. Results of a detailed Monte Carlo study of the proposed method for different stochastic models with switching regimes are presented.
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Cited in
(13)- 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
- Change detection via affine and quadratic detectors
- Consistent change-point detection with kernels
- Sequential detection of switches in models with changing structures
- Asymptotically pointwise optimal change detection in multiple channels
- OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS
- Nearly Optimal Change-Point Detection with an Application to Cybersecurity
- Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
- Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
- Change surfaces for expressive multidimensional changepoints and counterfactual prediction
- Asymptotically optimal methods of change-point detection for composite hypotheses
- Minimax and adaptive tests for detecting abrupt and possibly transitory changes in a Poisson process
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