Third-order asymptotic optimality of the generalized Shiryaev - Roberts changepoint detection procedures

We provide an overview of the state-of-the-art in the area of sequential change-point detection assuming discrete time and known pre- and post-change distributions. The overview spans over all major formulations of the underlying optimization problem, namely, Bayesian, generalized Bayesian, and minimax. We pay particular attention to the latest advances in each. Also, we link together the generalized Bayesian problem with multi-cyclic disorder detection in a stationary regime when the change occurs at a distant time horizon. We conclude with two case studies to illustrate the cutting edge of the field at work.Comment: 34 pages, accepted for publication in Methodology and Computing in Applied Probabilit

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Quickest Change Detection

Veeravalli

Banerjee

2014

Academic Press Library in Signal Processing

161

111

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The problem of detecting changes in the statistical properties of a stochastic system and time series arises in various branches of science and engineering. It has a wide spectrum of important applications ranging from machine monitoring to biomedical signal processing. In all of these applications the observations being monitored undergo a change in distribution in response to a change or anomaly in the environment, and the goal is to detect the change as quickly as possibly, subject to false alarm constraints.In this chapter, two formulations of the quickest change detection problem, Bayesian and minimax, are introduced, and optimal or asymptotically optimal solutions to these formulations are discussed. Then some generalizations and extensions of the quickest change detection problem are described. The chapter is concluded with a discussion of applications and open issues. I. INTRODUCTIONThe problem of quickest change detection comprises three entities: a stochastic process under observation, a change point at which the statistical properties of the process undergo a change, and a decision maker that observes the stochastic process and aims to detect this change in the statistical properties of the process. A false alarm event happens when the change is declared by the decision maker before the change actually occurs. The general objective of the theory of quickest change detection is to design algorithms that can be used to detect the change as soon as possible, subject to false alarm constraints.The quickest change detection problem has a wide range of important applications, including biomedical signal and image processing, quality control engineering, financial markets, link failure detection in communication networks, intrusion detection in computer networks and security systems, chemical or biological warfare agent detection systems (as a protection tool against terrorist attacks), detection of the onset of an epidemic, failure detection in manufacturing systems and large machines, target detection

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Third-order asymptotic optimality of the generalized Shiryaev - Roberts changepoint detection procedures

Cited by 6 publications

References 13 publications

Some Stylized Facts of the Conditional Expected Delay (CED)

Some Stylized Facts of the Conditional Expected Delay (CED)

State-of-the-Art in Sequential Change-Point Detection

Quickest Change Detection

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