Economics at your fingertips  

State-of-the-Art in Sequential Change-Point Detection

Aleksey S. Polunchenko () and Alexander G. Tartakovsky ()
Additional contact information
Aleksey S. Polunchenko: University of Southern California
Alexander G. Tartakovsky: University of Southern California

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 3, 649-684

Abstract: Abstract We provide an overview of the state-of-the-art in the area of sequential change-point detection assuming discrete time and known pre- and post-change distributions. The overview spans over all major formulations of the underlying optimization problem, namely, Bayesian, generalized Bayesian, and minimax. We pay particular attention to the latest advances in each. Also, we link together the generalized Bayesian problem with multi-cyclic disorder detection in a stationary regime when the change occurs at a distant time horizon. We conclude with two case studies to illustrate the cutting edge of the field at work.

Keywords: CUSUM chart; Quickest change detection; Sequential analysis; Sequential change-point detection; Shiryaev’s procedure; Shiryaev–Roberts procedure; Shiryaev–Roberts–Pollak procedure; Shiryaev–Roberts–r procedure; 62L10; 60G40; 62C10; 62C20 (search for similar items in EconPapers)
Date: 2012
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1007/s11009-011-9256-5

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Page updated 2022-05-12
Handle: RePEc:spr:metcap:v:14:y:2012:i:3:d:10.1007_s11009-011-9256-5