State-of-the-Art in Bayesian Changepoint Detection
From MaRDI portal
Publication:3578019
DOI10.1080/07474941003740997zbMath1190.62151MaRDI QIDQ3578019
Alexander G. Tartakovsky, George V. Moustakides
Publication date: 13 July 2010
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474941003740997
numerical analysis; Fredholm integral equation of the second kind; sequential analysis; CUSUM test; changepoint detection; Shiryaev-Roberts procedure; Shiryaev procedure
62F12: Asymptotic properties of parametric estimators
62F15: Bayesian inference
60G40: Stopping times; optimal stopping problems; gambling theory
62L15: Optimal stopping in statistics
Related Items
Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time, Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data, Sequential Detection of Transient Changes, A survey on concept drift adaptation, On robustness of the Shiryaev–Roberts change-point detection procedure under parameter misspecification in the post-change distribution, Data-Efficient Quickest Change Detection with On–Off Observation Control, An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure, Model misspecification in discrete time Bayesian online change detection, State-of-the-art in sequential change-point detection, Change-level detection for Lévy subordinators, An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach, Regenerative Likelihood Ratio Control Schemes, Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup, On the quasi-stationary distribution of the Shiryaev–Roberts diffusion
Cites Work
- Unnamed Item
- Optimal detection of a change in distribution
- Optimal stopping times for detecting changes in distributions
- Average run lengths of an optimal method of detecting a change in distribution
- Sequential change detection revisited
- On Stochastic Models and Optimal Methods in the Quickest Detection Problems
- Asymptotic Optimality in Bayesian Changepoint Detection Problems under Global False Alarm Probability Constraint
- Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
- Probability maximizing approach to optimal stopping and its application to a disorder problem
- Information bounds and quick detection of parameter changes in stochastic systems
- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
- Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
- On Optimum Methods in Quickest Detection Problems
- Procedures for Reacting to a Change in Distribution
- General Asymptotic Bayesian Theory of Quickest Change Detection