State-of-the-Art in Bayesian Changepoint Detection

Abstract

We provide a brief overview of the state-of-the-art in quickest (sequential) changepoint detection and present some new results on asymptotic and numerical analysis of main competitors such as the CUSUM, Shiryaev–Roberts, and Shiryaev detection procedures in a Bayesian context.

Keywords:

• Changepoint detection
• CUSUM test
• Fredholm integral equation of the second kind
• Numerical analysis
• Sequential analysis
• Shiryaev procedure
• Shiryaev–Roberts procedure

Subject Classifications:

• 62L15
• 60G40
• 62F12
• 62F15

ACKNOWLEDGMENTS

This work was supported in part by the U.S. Army Research Office MURI grant W911NF-06-1-0094 and by the U.S. National Science Foundation grant CCF-0830419 at the University of Southern California. We thank Greg Sokolov for performing numerical computations.

Notes

Recommended by Nitis Mukhopadhyay