• Corpus ID: 219401662

A Note on Online Change Point Detection

@article{Yu2020ANO,
  title={A Note on Online Change Point Detection},
  author={Yi Yu and Oscar Hernan Madrid Padilla and Daren Wang and Alessandro Rinaldo},
  journal={arXiv: Statistics Theory},
  year={2020}
}
Online change point detection is originated in sequential analysis, which has been thoroughly studied for more than half century. A variety of methods and optimality results have been established over the years. In this paper, we are concerned with the univariate online change point detection problem allowing for all model parameters to change. We establish a theoretical framework to allow for more refined minimax results. This includes a phase transition phenomenon and a study of the detection… 
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