Precision of sequential change point detection

DOI10.4064/AM2278-5-2017zbMATH Open1386.60155arXiv1401.5613OpenAlexW2223471394MaRDI QIDQ4595461FDOQ4595461

Authors: Aleksandra Ochman-Gozdek, Wojciech Sarnowski, Krzysztof J. Szajowski 

Publication date: 30 November 2017

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Abstract: A random sequence having two segments being the homogeneous Markov processes is registered. Each segment has his own transition probability law and the length of the segment is unknown and random. The transition probabilities of each process are known and a priori distribution of the disorder moment is given. The decision maker aim is to detect the moment of the transition probabilities change. The detection of the disorder rarely is precise. The decision maker accepts some deviation in estimation of the disorder moment. In the considered model the aim is to indicate the change point with fixed, bounded error with maximal probability. The case with various precision for over and under estimation of this point is analysed. The case when the disorder does not appears with positive probability is also included. The results insignificantly extends range of application, explain the structure of optimal detector in various circumstances and shows new details of the solution construction. The motivation for this investigation is the modelling of the attacks in the node of networks. The objectives is to detect one of the attack immediately or in very short time before or after it appearance with highest probability. The problem is reformulated to optimal stopping of the observed sequences. The detailed analysis of the problem is presented to show the form of optimal decision function.

Full work available at URL: https://arxiv.org/abs/1401.5613

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zbMATH Keywords

change pointMarkov processsequential detectionoptimal stoppingBayesian approachdisorder problem

Mathematics Subject Classification ID

Special processes (60K99) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (3)

• Rationalization of detection of the multiple disorders
• Title not available (Why is that?)
• Online change points detection for linear dynamical systems with finite sample guarantees

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