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Sequential Analysis
Design Methods and Applications
Volume 29, 2010 - Issue 2: Celebrating the Seventy-Fifth Birthday of Albert N. Shiryaev—Invited Papers: Part 1
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Original Articles

State-of-the-Art in Bayesian Changepoint Detection

Alexander G. Tartakovsky Department of Mathematics, University of Southern California, Los Angeles, California, USACorrespondence[email protected]
&
George V. Moustakides Department of Electrical and Computer Engineering, University of Patras, Patras, GreeceCorrespondence[email protected]
Pages 125-145 | Received 01 Apr 2009, Accepted 01 Jun 2009, Published online: 17 May 2010

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Wenyu Du, Aleksey S. Polunchenko & Grigory Sokolov. (2017) On robustness of the Shiryaev–Roberts change-point detection procedure under parameter misspecification in the post-change distribution. Communications in Statistics - Simulation and Computation 46:3, pages 2185-2206.
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Aleksey S. Polunchenko. (2017) On the quasi-stationary distribution of the Shiryaev–Roberts diffusion. Sequential Analysis 36:1, pages 126-149.
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Aleksey S. Polunchenko. (2016) Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup. Sequential Analysis 35:1, pages 108-143.
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AlekseyS. Polunchenko, Grigory Sokolov & Wenyu Du. (2014) An Accurate Method for Determining the Pre-Change Run Length Distribution of the Generalized Shiryaev-Roberts Detection Procedure. Sequential Analysis 33:1, pages 112-134.
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Blaise Kévin Guépié, Lionel Fillatre & Igor Nikiforov. (2012) Sequential Detection of Transient Changes. Sequential Analysis 31:4, pages 528-547.
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Taposh Banerjee & VenugopalV. Veeravalli. (2012) Data-Efficient Quickest Change Detection with On–Off Observation Control. Sequential Analysis 31:1, pages 40-77.
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Articles from other publishers (34)

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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Savas Dayanik & Semih O Sezer. (2023) Model Misspecification in Discrete Time Bayesian Online Change Detection. Methodology and Computing in Applied Probability 25:1.
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Xiao Huang, Yang Xu, Rui Liu, Siqin Wang, Sicheng Wang, Mengxi Zhang, Yuhao Kang, Zhe Zhang, Song Gao, Bo Zhao & Zhenlong Li. (2022) Exploring the spatial disparity of home‐dwelling time patterns in the USA during the COVID‐19 pandemic via Bayesian inference. Transactions in GIS 26:4, pages 1939-1961.
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Zeina Al Masry, Landy Rabehasaina & Ghislain Verdier. (2022) Change-level detection for Lévy subordinators. Stochastic Processes and their Applications 147, pages 423-455.
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Joanna Napierała, Jason Hilton, Jonathan J. Forster, Marcello Carammia & Jakub Bijak. (2021) Toward an Early Warning System for Monitoring Asylum-Related Migration Flows in Europe. International Migration Review 56:1, pages 33-62.
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Qunzhi Xu, Yajun Mei & George V. Moustakides. (2021) Optimum Multi-Stream Sequential Change-Point Detection With Sampling Control. IEEE Transactions on Information Theory 67:11, pages 7627-7636.
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Erick Draayer, Huiping Cao & Yifan Hao. (2021) Reevaluating the Change Point Detection Problem with Segment-based Bayesian Online Detection. Reevaluating the Change Point Detection Problem with Segment-based Bayesian Online Detection.
Liyan Xie, Shaofeng Zou, Yao Xie & Venugopal V. Veeravalli. (2021) Sequential (Quickest) Change Detection: Classical Results and New Directions. IEEE Journal on Selected Areas in Information Theory 2:2, pages 494-514.
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Akpaki Steaven V. Chede, Francois Rottenberg, Michel Dossou & Jerome Louveaux. (2021) Use of Bayesian Changepoint Detection for Spectrum Sensing in Mobile Cognitive Radio. Use of Bayesian Changepoint Detection for Spectrum Sensing in Mobile Cognitive Radio.
Jens A. de Bruijn, Hans de Moel, Brenden Jongman, Marleen C. de Ruiter, Jurjen Wagemaker & Jeroen C. J. H. Aerts. (2019) A global database of historic and real-time flood events based on social media. Scientific Data 6:1.
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Cheng-Der Fuh & Alexander G. Tartakovsky. (2019) Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models. IEEE Transactions on Information Theory 65:1, pages 511-529.
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Aleksey S. Polunchenko & Vasanthan Raghavan. (2018) Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data. Applied Stochastic Models in Business and Industry 34:6, pages 922-948.
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A. S. Polunchenko. (2018) Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time. Theory of Probability & Its Applications 62:4, pages 617-631.
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Israel Akingeneye & Jingxian Wu. (2018) Low Latency Detection of Sparse False Data Injections in Smart Grids. IEEE Access 6, pages 58564-58573.
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Sounak Kar, Rhaban Hark, Amr Rizk & Ralf Steinmetz. 2018. Measurement, Modelling and Evaluation of Computing Systems. Measurement, Modelling and Evaluation of Computing Systems 99 112 .
Hamed Habibi, Ian Howard & Reza Habibi. (2017) Bayesian Sensor Fault Detection in a Markov Jump System. Asian Journal of Control 19:4, pages 1465-1481.
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Alexander G. Tartakovsky. (2017) On Asymptotic Optimality in Sequential Changepoint Detection: Non-iid Case. IEEE Transactions on Information Theory 63:6, pages 3433-3450.
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Алексей С Полунченко & Aleksey S Polunchenko. (2017) Asymptotic near-minimaxity of the randomized Shiryaev - Roberts - Pollak change-point detection procedure in continuous timeAsymptotic near-minimaxity of the randomized Shiryaev - Roberts - Pollak change-point detection procedure in continuous time. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 62:4, pages 769-786.
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Aleksey S. Polunchenko & Grigory Sokolov. (2016) An Analytic Expression for the Distribution of the Generalized Shiryaev–Roberts Diffusion. Methodology and Computing in Applied Probability 18:4, pages 1153-1195.
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Cheng-Der Fuh & Yajun Mei. (2015) Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models. IEEE Transactions on Signal Processing 63:18, pages 4866-4878.
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Wenyu Du, Grigory Sokolov & Aleksey S. Polunchenko. 2015. Stochastic Models, Statistics and Their Applications. Stochastic Models, Statistics and Their Applications 57 65 .
Emmanuel Yashchin. 2015. Frontiers in Statistical Quality Control 11. Frontiers in Statistical Quality Control 11 65 76 .
Aleksey S. Polunchenko & Grigory Sokolov. (2014) Toward Optimal Design of the Generalized Shiryaev -- Roberts Procedure for Quickest Change-Point Detection under Exponential Observations. Toward Optimal Design of the Generalized Shiryaev -- Roberts Procedure for Quickest Change-Point Detection under Exponential Observations.
Aleksey S. Polunchenko, Grigory Sokolov & Wenyu Du. (2014) Efficient performance evaluation of the generalized Shiryaev–Roberts detection procedure in a multi‐cyclic setup. Applied Stochastic Models in Business and Industry 30:6, pages 723-739.
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Jun Geng, Erhan Bayraktar & Lifeng Lai. (2014) Bayesian Quickest Change-Point Detection With Sampling Right Constraints. IEEE Transactions on Information Theory 60:10, pages 6474-6490.
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Arash Komaee. (2014) Quickest Detection of a Random Pulse in White Gaussian Noise. IEEE Transactions on Automatic Control 59:6, pages 1468-1479.
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Marco A.F. Pimentel, David A. Clifton, Lei Clifton & Lionel Tarassenko. (2014) A review of novelty detection. Signal Processing 99, pages 215-249.
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João Gama, Indrė Žliobaitė, Albert Bifet, Mykola Pechenizkiy & Abdelhamid Bouchachia. (2014) A survey on concept drift adaptation. ACM Computing Surveys 46:4, pages 1-37.
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Di Li, Lifeng Lai & Shuguang Cui. (2013) Quickest change detection and identification across a sensor array. Quickest change detection and identification across a sensor array.
Alexander G. Tartakovsky, Aleksey S. Polunchenko & Grigory Sokolov. (2013) Efficient Computer Network Anomaly Detection by Changepoint Detection Methods. IEEE Journal of Selected Topics in Signal Processing 7:1, pages 4-11.
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Aleksey S. Polunchenko & Alexander G. Tartakovsky. (2011) State-of-the-Art in Sequential Change-Point Detection. Methodology and Computing in Applied Probability 14:3, pages 649-684.
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Marat V. Burnashev & Aslan Tchamkerten. (2012) Estimating a Random Walk First-Passage Time From Noisy or Delayed Observations. IEEE Transactions on Information Theory 58:7, pages 4230-4243.
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George V. Moustakides, Guido H. Jajamovich, Ali Tajer & Xiaodong Wang. (2012) Joint Detection and Estimation: Optimum Tests and Applications. IEEE Transactions on Information Theory 58:7, pages 4215-4229.
Crossref
Alexander G. Tartakovsky & Moshe Pollak. (2011) Nearly minimax changepoint detection procedures. Nearly minimax changepoint detection procedures.

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