Corpus ID: 78087250

Sequential change-point detection: Laplace concentration of scan statistics and non-asymptotic delay bounds

@inproceedings{Maillard2019SequentialCD,
  title={Sequential change-point detection: Laplace concentration of scan statistics and non-asymptotic delay bounds},
  author={O. Maillard},
  booktitle={ALT},
  year={2019}
}
  • O. Maillard
  • Published in ALT 2019
  • Computer Science
  • We consider change-point detection in a fully sequential setup, when observations are received one by one and one must raise an alarm as early as possible after any change. We assume that both the change points and the distributions before and after the change are unknown. We consider the class of piecewise-constant mean processes with sub-Gaussian noise, and we target a detection strategy that is uniformly good on this class (this constrains the false alarm rate and detection delay). We… CONTINUE READING
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