State-of-the-Art in Bayesian Changepoint Detection

DOI10.1080/07474941003740997zbMath1190.62151OpenAlexW2034084112MaRDI QIDQ3578019

Alexander G. Tartakovsky, George V. Moustakides

Publication date: 13 July 2010

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

Full work available at URL: https://doi.org/10.1080/07474941003740997

zbMATH Keywords

numerical analysisFredholm integral equation of the second kindsequential analysisCUSUM testchangepoint detectionShiryaev-Roberts procedureShiryaev procedure

Mathematics Subject Classification ID

Related Items (14)

Change-level detection for Lévy subordinators ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time ⋮ State-of-the-art in sequential change-point detection ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ On the quasi-stationary distribution of the Shiryaev–Roberts diffusion ⋮ Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data ⋮ Data-Efficient Quickest Change Detection with On–Off Observation Control ⋮ Sequential Detection of Transient Changes ⋮ An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure ⋮ A survey on concept drift adaptation ⋮ Regenerative Likelihood Ratio Control Schemes ⋮ Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup ⋮ On robustness of the Shiryaev–Roberts change-point detection procedure under parameter misspecification in the post-change distribution

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• Probability maximizing approach to optimal stopping and its application to a disorder problem
• Information bounds and quick detection of parameter changes in stochastic systems
• Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
• Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
• On Optimum Methods in Quickest Detection Problems
• Procedures for Reacting to a Change in Distribution
• General Asymptotic Bayesian Theory of Quickest Change Detection

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