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Sequential Analysis
Design Methods and Applications
Volume 27, 2008 - Issue 4
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Original Articles

Sequential Change-Point Detection Procedures That are Nearly Optimal and Computationally Simple

Gary Lorden Department of Mathematics, California Institute of Technology, Pasadena, California, USACorrespondence[email protected]
&
Moshe Pollak Department of Statistics, Hebrew University of Jerusalem, Jerusalem, Israel
Pages 476-512 | Received 07 Jan 2008, Accepted 25 Jul 2008, Published online: 31 Oct 2008

Citations (25)

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Read on this site (12)

Qunzhi Xu & Yajun Mei. (2023) Asymptotic optimality theory for active quickest detection with unknown postchange parameters. Sequential Analysis 42:2, pages 150-181.
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Yinglun Zhan, Ruizhi Zhang, Yuzhen Zhou, Vincent Stoerger, Jeremy Hiller, Tala Awada & Yufeng Ge. (2022) Rapid online plant leaf area change detection with high-throughput plant image data. Journal of Applied Statistics 0:0, pages 1-15.
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K. H. Hellton, M. Tveten, M. Stakkeland, S. Engebretsen, O. Haug & M. Aldrin. (2022) Real-time prediction of propulsion motor overheating using machine learning. Journal of Marine Engineering & Technology 21:6, pages 334-342.
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Jun Li. (2021) Nonparametric adaptive CUSUM chart for detecting arbitrary distributional changes. Journal of Quality Technology 53:2, pages 154-172.
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Georgios Rovatsos, Shaofeng Zou & Venugopal V. Veeravalli. (2020) Sequential algorithms for moving anomaly detection in networks. Sequential Analysis 39:1, pages 6-31.
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Yanhong Wu. (2019) A combined SR-CUSUM procedure for detecting common changes in panel data. Communications in Statistics - Theory and Methods 48:17, pages 4302-4319.
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Ruizhi Zhang & Yajun Mei. (2018) Asymptotic statistical properties of communication-efficient quickest detection schemes in sensor networks. Sequential Analysis 37:3, pages 375-396.
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Yanhong Wu. (2017) Detecting changes in a multiparameter exponential family by using adaptive CUSUM procedure. Sequential Analysis 36:4, pages 467-480.
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Jiujun Zhang, Zhonghua Li, Qin Zhou & Zhaojun Wang. (2016) An Adaptive Shiryaev–Roberts Procedure for Signalling Varying Location Shifts. Communications in Statistics - Simulation and Computation 45:7, pages 2511-2527.
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Yajun Mei. (2013) Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David O. Siegmund. Sequential Analysis 32:1, pages 32-35.
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Tze Leung Lai & Haipeng Xing. (2010) Sequential Change-Point Detection When the Pre- and Post-Change Parameters are Unknown. Sequential Analysis 29:2, pages 162-175.
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Tze Leung Lai & Haipeng Xing. (2009) Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén. Sequential Analysis 28:3, pages 360-364.
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Articles from other publishers (13)

Shuchen Cao & Ruizhi Zhang. (2023) An Adaptive Approach for Online Monitoring of Large Scale Data Streams. IISE Transactions, pages 1-23.
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Liyan Xie, George V. Moustakides & Yao Xie. (2023) Window-Limited CUSUM for Sequential Change Detection. IEEE Transactions on Information Theory 69:9, pages 5990-6005.
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Jun Li. (2022) Adaptive CUSUM chart with cautious parameter learning. Quality and Reliability Engineering International 38:6, pages 3135-3156.
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Fei Sha & Ruizhi Zhang. (2022) Quickest Detection of the Change of Community via Stochastic Block Models. Quickest Detection of the Change of Community via Stochastic Block Models.
James Zachary Hare, Lance Kaplan & Venugopal V. Veeravalli. (2021) Toward Uncertainty Aware Quickest Change Detection. Toward Uncertainty Aware Quickest Change Detection.
Georgios Rovatsos, Venugopal V. Veeravalli, Don Towsley & Ananthram Swami. (2021) Quickest Detection of Anomalies of Varying Location and Size in Sensor Networks. IEEE Transactions on Aerospace and Electronic Systems 57:4, pages 2109-2120.
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Qunzhi Xu & Yajun Mei. (2021) Multi-Stream Quickest Detection with Unknown Post-Change Parameters Under Sampling Control. Multi-Stream Quickest Detection with Unknown Post-Change Parameters Under Sampling Control.
Deniz Sargun & Can Emre Koksal. (2021) Robust Change Detection via Information Projection. IEEE Journal on Selected Areas in Information Theory 2:2, pages 774-783.
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Jun Li. (2019) Efficient global monitoring statistics for high‐dimensional data. Quality and Reliability Engineering International 36:1, pages 18-32.
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Tze Siong Lau, Wee Peng Tay & Venugopal V. Veeravalli. (2019) A Binning Approach to Quickest Change Detection With Unknown Post-Change Distribution. IEEE Transactions on Signal Processing 67:3, pages 609-621.
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Yang Cao, Liyan Xie, Yao Xie & Huan Xu. (2018) Sequential Change-Point Detection via Online Convex Optimization. Entropy 20:2, pages 108.
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Ruizhi Zhang, Yajun Mei & Jianjun Shi. 2018. New Frontiers of Biostatistics and Bioinformatics. New Frontiers of Biostatistics and Bioinformatics 141 159 .
Murad Badarna & Ran Wolff. (2014) Fast and accurate detection of changes in data streams. Statistical Analysis and Data Mining: The ASA Data Science Journal 7:2, pages 125-139.
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