# SEQUENTIAL CHANGE DETECTION REVISITED

@article{Moustakides2008SEQUENTIALCD, title={SEQUENTIAL CHANGE DETECTION REVISITED}, author={George V. Moustakides}, journal={Annals of Statistics}, year={2008}, volume={36}, pages={787-807} }

In sequential change detection, existing performance measures differ significantly in the way they treat the time of change. By modeling this quantity as a random time, we introduce a general framework capable of capturing and better understanding most well-known criteria and also propose new ones. For a specific new criterion that constitutes an extension to Lorden's performance measure, we offer the optimum structure for detecting a change in the constant drift of a Brownian motion and a…

## 57 Citations

### Optimal Sequential Change Detection for Fractional Diffusion-Type Processes

- MathematicsJournal of Applied Probability
- 2013

It is shown that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst index H adopts a polynomial drift term with exponent H + 1/2 after the change.

### OPTIMAL SEQUENTIAL CHANGE-DETECTION FOR FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS

- Mathematics
- 2011

The sequential detection of an abrupt and persistent change in the dynamics of an arbitrary continuous-path stochastic process is considered; the optimality of the cumulative sums (cusum) test is es-…

### Minimax optimality of Shiryaev-Roberts procedure for quickest drift change detection of a Brownian motion

- MathematicsArXiv
- 2016

Analytical and numerical justifications are provided toward establishing that the Shiryaev-Roberts procedure with a specially designed starting point is exactly optimal for the proposed mathematical setup.

### Sequentially detecting transitory changes

- Computer Science2016 IEEE International Symposium on Information Theory (ISIT)
- 2016

The sequential test that optimizes the proposed criterion is derived, in the exact sense, the well known CUSUM rule with the corresponding test-statistic-update being not only a function of all pre- and post-change pdfs but also of the false-alarm constraint.

### Asymptotical Optimality of Change Point Detection With Unknown Discrete Post-Change Distributions

- Mathematics, Computer ScienceIEEE Signal Processing Letters
- 2020

A sequential version of universal hypothesis test across the curved boundary is introduced, and it is proved that this sequential test asymptotically achieves smaller average sample size than any other sequential test.

### Detecting Changes in Hidden Markov Models

- Computer Science2019 IEEE International Symposium on Information Theory (ISIT)
- 2019

For each formulation of the problem of sequential detection of a change in the statistical behavior of a hidden Markov model, the optimum Shewhart test is derived that maximizes the worst-case detection probability while guaranteeing infrequent false alarms.

### ON THE OPTIMALITY OF BAYESIAN CHANGE-POINT

- Mathematics, Computer Science
- 2016

By introducing suitable loss random variables of detection, we obtain optimal tests in terms of the stopping time or alarm time for Bayesian change-point detection not only for a general prior…

### Optimal Sequential Tests for Monitoring Changes in the Distribution of Finite Observation Sequences

- Mathematics
- 2019

This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method…

### Bayesian quickest detection with observation-changepoint feedback

- Mathematics2012 IEEE 51st IEEE Conference on Decision and Control (CDC)
- 2012

This work develops several continuous-time formulations of Bayesian quickest detection problems where the observations and the underlying change-point are coupled and lends itself to an efficient numerical scheme that combines particle filtering with Monte Carlo dynamic programming.

### Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution

- Mathematics
- 2009

Abstract We consider a change detection problem in which the arrival rate of a Poisson process changes suddenly at some unknown and unobservable disorder time. It is assumed that the prior…

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