Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty

DOI10.1080/07474946.2022.2043052zbMATH Open1493.62483OpenAlexW4280537627MaRDI QIDQ5085249FDOQ5085249

Authors: Valérie Girardin, Victor Konev, Serguei Pergamenchtchikov 

Publication date: 27 June 2022

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2022.2043052

Recommendations

• Kullback-Leibler approach to CUSUM quickest detection rule for Markovian time series
• Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
• Asymptotically optimal quickest change detection in multistream data -- Part 1: General stochastic models
• Quickest change point detection with multiple postchange models
• scientific article; zbMATH DE number 862385

zbMATH Keywords

change point detectionKullback-Leibler divergencesequential detectionautoregressive processesCUSUM rulerobust riskgeneral dependent observation modelsunknown postchange distribution

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Statistical aspects of information-theoretic topics (62B10) Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

• Title not available (Why is that?)
• On Information and Sufficiency
• Information bounds and quick detection of parameter changes in stochastic systems
• Title not available (Why is that?)
• CONTINUOUS INSPECTION SCHEMES
• Title not available (Why is that?)
• Markov chains and stochastic stability
• I-divergence geometry of probability distributions and minimization problems
• Title not available (Why is that?)
• Title not available (Why is that?)
• Sequential change-point detection when unknown parameters are present in the pre-change distribution
• Uniform concentration inequality for ergodic diffusion processes observed at discrete times
• Geometric ergodicity for classes of homogeneous Markov chains
• Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
• Minimax Robust Quickest Change Detection
• On guaranteed estimation of the mean of an autoregressive process
• Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
• Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series
• Sequential robust estimation for nonparametric autoregressive models
• Title not available (Why is that?)

Cited In (5)

• Asymptotic optimality theory for active quickest detection with unknown postchange parameters
• Misspecified and Asymptotically Minimax Robust Quickest Change Diagnosis
• Quickest detection in the Wiener disorder problem with post-change uncertainty
• Information bounds and quick detection of parameter changes in stochastic systems
• On the informativeness of measurements in Shiryaev's Bayesian quickest change detection

This page was built for publication: Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085249)