Quickest change point detection with multiple postchange models

DOI10.1080/07474946.2020.1826795MaRDI QIDQ4965664zbMATHOpenAlexFDO

Authors Samrat Nath, Jingxian Wu

Publication date 9 March 2021

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2020.1826795

zbMATH Keywords

change point detectionsequential analysisasymptotic optimalityprobability of false alarmaverage detection delay

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• scientific article; zbMATH DE number 5629283 (Why is no real title available?)
• scientific article; zbMATH DE number 2109344 (Why is no real title available?)
• CONTINUOUS INSPECTION SCHEMES
• Detection of intrusions in information systems by sequential change-point methods
• Efficient scalable schemes for monitoring a large number of data streams
• General Asymptotic Bayesian Theory of Quickest Change Detection
• Information bounds and quick detection of parameter changes in stochastic systems
• On Optimum Methods in Quickest Detection Problems
• On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• Procedures for Reacting to a Change in Distribution
• Rao Test for Adaptive Detection in Gaussian Interference With Unknown Covariance Matrix

Cited in

(7)

• A Binning Approach to Quickest Change Detection With Unknown Post-Change Distribution
• Quickest detection of an accumulated state-dependent change point
• The optimal CUSUM control chart with a dynamic non-random control limit and a given sampling strategy for small samples sequence
• Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty
• Quickest changepoint detection in general multistream stochastic models: recent results, applications and future challenges
• Multidecision Quickest Change-Point Detection: Previous Achievements and Open Problems
• Large-Scale Multi-Stream Quickest Change Detection via Shrinkage Post-Change Estimation

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