A constant-per-iteration likelihood ratio test for online changepoint detection for exponential family models

Computational methods for problems pertaining to statistics (62-08) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

A log-linear nonparametric online changepoint detection algorithm based on functional pruning
A MOSUM procedure for the estimation of multiple random change points
A Note on Online Change Point Detection
A robust approach for estimating change-points in the mean of an \(\mathrm{AR}(1)\) process
A test for a change in a parameter occurring at an unknown point
CONTINUOUS INSPECTION SCHEMES
Counted Data CUSUM's
Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise
Efficient scalable schemes for monitoring a large number of data streams
High-dimensional change-point detection under sparse alternatives
High-Dimensional, Multiscale Online Changepoint Detection
scientific article; zbMATH DE number 795279 (Why is no real title available?)
Least-squares estimation of an unknown number of shifts in a time series
Modified procedures for change point monitoring in linear models
Modified sequential change point procedures based on estimating functions
MOSUM tests for parameter constancy
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm
Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
NEWMA: A New Method for Scalable Model-Free Online Change-Point Detection
On-Line Inference for Multiple Changepoint Problems
Procedures for Reacting to a Change in Distribution
Sequential change-point detection in high-dimensional Gaussian graphical models
Sequential change-point detection when the pre- and post-change parameters are unknown
The computation of average run length and average time to signal: an overview
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(4)

Online multivariate changepoint detection: leveraging links with computational geometry
Poisson-FOCuS: An Efficient Online Method for Detecting Count Bursts with Application to Gamma Ray Burst Detection. Rejoinder
MixFOCuS: a communication-efficient online changepoint detection method in distributed system for mixed-type data
Online jump and kink detection in segmented linear regression: statistical optimality meets computational efficiency

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