State-of-the-art in Bayesian changepoint detection
DOI10.1080/07474941003740997zbMATH Open1190.62151OpenAlexW2034084112MaRDI QIDQ3578019FDOQ3578019
Authors: 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
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changepoint detectionsequential analysisnumerical analysisCUSUM testShiryaev-Roberts procedureFredholm integral equation of the second kindShiryaev procedure
Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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
- Optimal detection of a change in distribution
- Sequential change detection revisited
- On Optimum Methods in Quickest Detection Problems
- Title not available (Why is that?)
- Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
- 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
- On stochastic models and optimal methods in the quickest detection problems
- Average run lengths of an optimal method of detecting a change in distribution
- Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
- General Asymptotic Bayesian Theory of Quickest Change Detection
- Asymptotic optimality in Bayesian change point detection problems under global false alarm probability constraint
Cited In (25)
- Change-level detection for Lévy subordinators
- Data-efficient quickest change detection with on-off observation control
- Efficient performance evaluation of the generalized Shiryaev-Roberts detection procedure in a multi-cyclic setup
- Title not available (Why is that?)
- 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
- On the optimality of Bayesian change-point detection
- 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
- Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
- State-of-the-art in sequential change-point detection
- Bayesian multiple changepoints detection for Markov jump processes
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
- Bayesian Quickest Change-Point Detection With Sampling Right Constraints
- Quickest detection of a state-dependent change-point in discrete time
- Bayesian loss-based approach to change point analysis
- A note on Bayesian identification of change points in data sequences
- On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution
- Exact Bayesian inference for off-line change-point detection in tree-structured graphical models
- Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models
- A survey on concept drift adaptation
- Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
- Regenerative likelihood ratio control schemes
- Sequential detection of transient changes
- Detection of change points: a survey of methodologies
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