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arXiv · 1310.3285

Quickest Change-Point Detection: A Bird's Eye View

Aleksey S. Polunchenko·Grigory Sokolov·Wenyu Du
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Abstract

We provide a bird's eye view onto the area of sequential change-point detection. We focus on the discrete-time case with known pre- and post-change data distributions and offer a summary of the forefront asymptotic results established in each of the four major formulations of the underlying optimization problem: Bayesian, generalized Bayesian, minimax, and multi-cyclic.

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Aleksey S. Polunchenko, Grigory Sokolov, Wenyu Du. 2013-10-11. Quickest Change-Point Detection: A Bird's Eye View. https://arxiv.org/abs/1310.3285

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