Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models

IEEE Transactions on Information Theory ◽

10.1109/tit.2020.3029096 ◽

2021 ◽

Vol 67 (1) ◽

pp. 485-505

Author(s):

Cheng-Der Fuh

Keyword(s):

State Space ◽

Change Point ◽

Change Point Detection ◽

State Space Models ◽

Composite Hypothesis ◽

Asymptotically Optimal ◽

Point Detection ◽

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On-line change-point detection (for state space models) using multi-process Kalman filters

Linear Algebra and its Applications ◽

10.1016/s0024-3795(98)10132-5 ◽

1998 ◽

Vol 284 (1-3) ◽

pp. 125-135 ◽

Author(s):

Martin Daumer ◽

Markus Falk

Keyword(s):

State Space ◽

Change Point ◽

Kalman Filters ◽

Change Point Detection ◽

State Space Models ◽

On Line ◽

Point Detection

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Second-Order Asymptotically Optimal Change-point Detection Algorithm with Sampling Control

2020 IEEE International Symposium on Information Theory (ISIT) ◽

10.1109/isit44484.2020.9174114 ◽

2020 ◽

Author(s):

Qunzhi Xu ◽

Yajun Mei ◽

George V. Moustakides

Keyword(s):

Change Point ◽

Detection Algorithm ◽

Second Order ◽

Change Point Detection ◽

Asymptotically Optimal ◽

Point Detection ◽

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Sequential Change-Point Detection in State-Space Models

Sequential Analysis ◽

10.1080/07474946.2012.665676 ◽

2012 ◽

Vol 31 (2) ◽

pp. 145-171

Author(s):

Boris Brodsky

Keyword(s):

State Space ◽

Change Point ◽

Change Point Detection ◽

State Space Models ◽

Sequential Change ◽

Point Detection

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Optimality of CUSUM Rule Approximations in Change-Point Detection Problems: Application to Nonlinear State–Space Systems

IEEE Transactions on Information Theory ◽

10.1109/tit.2008.929964 ◽

2008 ◽

Vol 54 (11) ◽

pp. 5102-5112 ◽

Author(s):

Ghislain Verdier ◽

Nadine Hilgert ◽

Jean-Pierre Vila

Keyword(s):

State Space ◽

Change Point ◽

Change Point Detection ◽

Space Systems ◽

State Space Systems ◽

Point Detection ◽

Nonlinear State

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Optimal change point detection in Gaussian processes

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2017.09.003 ◽

2018 ◽

Vol 193 ◽

pp. 151-178 ◽

Author(s):

Hossein Keshavarz ◽

Clayton Scott ◽

XuanLong Nguyen

Keyword(s):

Gaussian Processes ◽

Change Point ◽

Change Point Detection ◽

Point Detection ◽

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Optimal and asymptotically optimal CUSUM rules for change point detection in the Brownian motion model with multiple alternatives

Теория вероятностей и ее применения ◽

10.4213/tvp161 ◽

2005 ◽

Vol 50 (1) ◽

pp. 131-144 ◽

Author(s):

Olympia Hadjiliadis ◽

Olympia Hadjiliadis ◽

V. Moustakides ◽

V. Moustakides

Keyword(s):

Brownian Motion ◽

Change Point ◽

Change Point Detection ◽

Motion Model ◽

Asymptotically Optimal ◽

Brownian Motion Model ◽

Point Detection

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Asymptotically optimal methods of change-point detection for composite hypotheses

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2004.01.007 ◽

2005 ◽

Vol 133 (1) ◽

pp. 123-138 ◽

Author(s):

Boris Brodsky ◽

Boris Darkhovsky

Keyword(s):

Change Point ◽

Change Point Detection ◽

Asymptotically Optimal ◽

Optimal Methods ◽

Composite Hypotheses ◽

Point Detection

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Optimal Change-Point Detection with Training Sequences in the Large and Moderate Deviations Regimes

IEEE Transactions on Information Theory ◽

10.1109/tit.2021.3092753 ◽

2021 ◽

pp. 1-1

Author(s):

Haiyun He ◽

Qiaosheng Zhang ◽

Vincent Y. F. Tan

Keyword(s):

Change Point ◽

Moderate Deviations ◽

Change Point Detection ◽

Training Sequences ◽

Point Detection ◽

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Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-016-9149-x ◽

2016 ◽

Vol 21 (1) ◽

pp. 217-259 ◽

Author(s):

Serguei Pergamenchtchikov ◽

Alexander G. Tartakovsky

Keyword(s):

Change Point ◽

Change Point Detection ◽

Dependent Data ◽

Asymptotically Optimal ◽

Point Detection

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Asymptotically Optimal Methods of Early Change-Point Detection

Sequential Analysis ◽

10.1080/07474946.2013.774611 ◽

2013 ◽

Vol 32 (2) ◽

pp. 158-181 ◽

Author(s):

Boris Brodsky ◽

Boris Darkhovsky

Keyword(s):

Change Point ◽

Change Point Detection ◽

Asymptotically Optimal ◽

Early Change ◽

Optimal Methods ◽

Point Detection

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