Quickest Change-Point Detection: A Bird's Eye View

Abstract

We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a summary of the forefront asymptotic results established in each of the four major formulations of the underlying optimization problem: Bayesian, generalized Bayesian, minimax, and multi-cyclic.

16 pages, presented at the 2013 Joint Statistical Meetings (JSM-2013), Montreal, Quebec, Canada, 3--8 August 2013

References in corpus (2)

• Efficient Computer Network Anomaly Detection by Changepoint Detection Methods
• Sequential change detection revisited

Cited by in corpus (3)

• An Analytic Expression for the Distribution of the Generalized Shiryaev-Roberts Diffusion
• Exact Distribution of the Generalized Shiryaev-Roberts Stopping Time Under the Minimax Brownian Motion Setup
• An Accurate Method for Determining the Pre-Change Run-Length Distribution of the Generalized Shiryaev--Roberts Detection Procedure