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

DOI10.1080/03610926.2013.833243zbMATH Open1343.62046OpenAlexW1996139874MaRDI QIDQ2807708FDOQ2807708

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

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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)

Cites Work

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

Cited In (4)

• 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
• Malware Family Discovery Using Reversible Jump MCMC Sampling of Regimes
• Optimal estimation of the time of change in the characteristics of a Markov chain

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