Online change detection of Markov chains with unknown post-change transition probabilities

DOI10.1080/03610926.2013.833243MaRDI QIDQ2807708zbMATH OpenOpenAlexFDO

Authors Jinguo Xian, Dong Han, Jianqi Yu

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.833243

zbMATH Keywords

Markov chainchange pointlikelihood ratiomean time between false alarmsmean delay time

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

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Cites work

• An efficient sequential nonparametric scheme for detecting a change of distribution
• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• Change-point problem for high-order Markov chain
• Decision theoretic optimality of the cusum procedure
• Detecting change-points in Markov chains
• Hoeffding's inequality for uniformly ergodic Markov chains
• Information bounds and quick detection of parameter changes in stochastic systems
• Nonparametric adaptive change point estimation and on line detection
• On Optimum Methods in Quickest Detection Problems
• Optimal detection of a change in distribution
• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution
• Quickest Detection
• Sequential change-point detection when the pre- and post-change parameters are unknown
• Statistical Methods in Markov Chains
• Using the generalized likelihood ratio statistic for sequential detection of a change-point

Cited in

(4)

• Malware family discovery using reversible jump MCMC sampling of regimes
• Change point dynamics for financial data: an indexed Markov chain approach
• A copula-based Markov reward approach to the credit spread in the European Union
• Optimal estimation of the time of change in the characteristics of a Markov chain

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