Real-time financial surveillance via quickest change-point detection methods

Real-time financial surveillance via quickest change-point detection methods

Hierarchical Quickest Change Detection via Surrogates

Change detection (CD) in time series data is a critical problem as it reveal changes in the underlying generative processes driving the time series. Despite having received significant attention, one important unexplored aspect is how to efficiently utilize additional correlated information to improve the detection and the understanding of changepoints. We propose hierarchical quickest change d...

Multidecision Quickest Change-Point Detection: Previous Achievements and Open Problems

The following multidecision quickest detection problem, which is of importance for a variety of applications, is considered. There are N populations that are either statistically identical or where the change occurs in one of them at an unknown point in time. Alternatively, there may be N “isolated” points/hypotheses associated with a change. It is necessary to detect the change in distribution...

Decentralized quickest change detection

A decentralized formulation of the quickest change detection problem is studied, where the distributions of the observations at all of the sensors in the system change at the time of disruption, and the sensors communicate with a common fusion center. A Bayesian setting is considered in which a priori knowledge of the change time distribution is available. The observations are assumed to be ind...

Quickest Change Detection

The problem of detecting changes in the statistical properties of a stochastic system and time series arises in various branches of science and engineering. It has a wide spectrum of important applications ranging from machine monitoring to biomedical signal processing. In all of these applications the observations being monitored undergo a change in distribution in response to a change or anom...