Sequential change detection revisited

Abstract

In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better understanding most well-known criteria and also propose new ones. For a specific new criterion that constitutes an extension to Lorden's performance measure, we offer the optimum structure for detecting a change in the constant drift of a Brownian motion and a formula for the corresponding optimum performance.

Published in at http://dx.doi.org/10.1214/009053607000000938 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (2)

• Adaptive Poisson disorder problem
• Comments on "A note on optimal detection of a change in distribution," by Benjamin Yakir

Cited by in corpus (14)

• State-of-the-Art in Sequential Change-Point Detection
• Numerical Comparison of Cusum and Shiryaev-Roberts Procedures for Detecting Changes in Distributions
• Finite Sample Size Optimality of GLR Tests
• Monitoring procedure for parameter change in causal time series
• Quickest Change-Point Detection: A Bird's Eye View
• On the Wiener disorder problem
• Robustness of the $N$-CUSUM stopping rule in a Wiener disorder problem
• Optimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation Sequences
• Element-wise estimation error of a total variation regularized estimator for change point detection
• A Numerical Approach to Performance Analysis of Quickest Change-Point Detection Procedures
• Optimal Sequential Tests for Detection of Changes under Finite measure space for Finite Sequences of Networks
• Estimating a Random Walk First-Passage Time from Noisy or Delayed Observations
• Minimax Optimality of Shiryaev-Roberts Procedure for Quickest Drift Change Detection of a Brownian motion
• Change Acceleration and Detection