Sketching for sequential change-point detection
نویسندگان
چکیده
منابع مشابه
on the bayesian sequential change-point detection
the problems of sequential change-point have several important applications in quality control, signal processing, and failure detection in industry and finance. we discuss a bayesian approach in the context of statistical process control: at an unknown time $tau$, the process behavior changes and the distribution of the data changes from p0 to p1. two cases are considered: (i) p0 and p1 are fu...
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For the problem of sequential change detection we propose a novel modelling of the change-point mechanism. In particular we regard the time of change as a stopping time controlled by Nature. Nature, in order to decide when to impose the change, accesses sequentially information which can be different from the information provided to the Statistician to detect the change. Using as performance me...
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This thesis studies sequential change-point detection problems in different contexts. Our main results are as follows: • We present a new formulation of the problem of detecting a change of the parameter value in a one-parameter exponential family. Asymptotically optimal procedures are obtained. • We propose a new and useful definition of “asymptotically optimal to firstorder” procedures in cha...
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Sequential change-point detection when the distribution parameters are unknown is a fundamental problem in statistics and machine learning. When the post-change parameters are unknown, we consider a set of detection procedures based on sequential likelihood ratios with non-anticipating estimators constructed using online convex optimization algorithms such as online mirror descent, which provid...
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Change-point detection is the problem of discovering time points at which properties of time-series data change. This covers a broad range of real-world problems and has been actively discussed in the community of statistics and data mining. In this paper, we present a novel nonparametric approach to detecting the change of probability distributions of sequence data. Our key idea is to estimate...
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ژورنال
عنوان ژورنال: EURASIP Journal on Advances in Signal Processing
سال: 2019
ISSN: 1687-6180
DOI: 10.1186/s13634-019-0635-3