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

DOI10.1016/J.JMVA.2019.104541zbMATH Open1428.62370arXiv1807.09613OpenAlexW2970248573MaRDI QIDQ2008231FDOQ2008231

Authors: Serguei Pergamenchtchikov, Alexander G. Tartakovsky 

Publication date: 22 November 2019

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

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.

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

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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)

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Cited In (16)

• Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
• Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty
• Asymptotically optimal methods of change-point detection for composite hypotheses
• General Asymptotic Bayesian Theory of Quickest Change Detection
• Suboptimal properties of Page's CUSUM and Shiryaev-Roberts procedures in change-point problems with dependent observations
• Minimax and pointwise sequential changepoint detection and identification for general stochastic models
• Detection and identification of changes of hidden Markov chains: asymptotic theory
• Truncated sequential change-point detection for Markov chains with applications in the epidemic statistical analysis
• Asymptotic optimality in Bayesian change point detection problems under global false alarm probability constraint
• Quickest changepoint detection in general multistream stochastic models: recent results, applications and future challenges
• Asymptotic properties of semiparametric \(M\)-estimators with multiple change points
• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• Minimax optimality of the Shiryayev-Roberts change-point detection rule
• Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
• Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
• Asymptotically d-optimal Test of A Posteriori Change-Point Detection

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