Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis

DOI10.1016/J.JMVA.2019.104541MaRDI QIDQ2008231zbMATH OpenOpenAlexFDO

Authors Serguei Pergamenchtchikov, Alexander G. Tartakovsky

Publication date 22 November 2019

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.09613

zbMATH Keywords

changepoint detectionasymptotic optimalityquickest detectioncomposite post-change hypothesisweighted Shiryaev-Roberts procedure

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Sequential statistical analysis (62L10) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Abstract: 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 maximal local probability of a false alarm within a window of a fixed length in pointwise and minimax settings for general non-i.i.d. data models and for the composite post-change hypothesis when the post-change parameter is unknown. We establish very general conditions for the models under which the weighted Shiryaev-Roberts procedure is asymptotically optimal. These conditions are formulated in terms of the rate of convergence in the strong law of large numbers for the log-likelihood ratios between the "change" and "no-change" hypotheses, and we also provide sufficient conditions for a large class of ergodic Markov processes. Examples, where these conditions hold, are given.

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Cited in

(18)

• Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
• Asymptotically pointwise optimal change detection in multiple channels
• Asymptotically optimal methods of change-point detection for composite hypotheses
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• General Asymptotic Bayesian Theory of Quickest Change Detection
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• Asymptotically d-optimal Test of A Posteriori Change-Point Detection

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