Quickest change point detection with multiple postchange models

DOI10.1080/07474946.2020.1826795zbMath1461.62144OpenAlexW3122009488MaRDI QIDQ4965664

Jingxian Wu, Samrat Nath

Publication date: 9 March 2021

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

Full work available at URL: https://doi.org/10.1080/07474946.2020.1826795

zbMATH Keywords

asymptotic optimalitysequential analysischange point detectionprobability of false alarmaverage detection delay

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites Work

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• Efficient scalable schemes for monitoring a large number of data streams
• Detection of intrusions in information systems by sequential change-point methods
• On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• Rao Test for Adaptive Detection in Gaussian Interference With Unknown Covariance Matrix
• Information bounds and quick detection of parameter changes in stochastic systems
• On Optimum Methods in Quickest Detection Problems
• Procedures for Reacting to a Change in Distribution
• General Asymptotic Bayesian Theory of Quickest Change Detection
• CONTINUOUS INSPECTION SCHEMES

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