[图书][B] Quickest detection

HV Poor, O Hadjiliadis - 2008 - collaborate.princeton.edu
The problem of detecting abrupt changes in the behavior of an observed signal or time
series arises in a variety of fields, including climate modeling, finance, image analysis, and …

Bayesian quickest detection of credit card fraud

B Buonaguidi, A Mira, H Bucheli, V Vitanis - Bayesian Analysis, 2022 - projecteuclid.org
This paper addresses the risk of fraud in credit card transactions by developing a
probabilistic model for the quickest detection of illegitimate purchases. Using optimal …

Compound Poisson disorder problem

S Dayanik, SO Sezer - Mathematics of Operations Research, 2006 - pubsonline.informs.org
In the compound Poisson disorder problem, arrival rate and/or jump distribution of some
compound Poisson process changes suddenly at some unknown and unobservable time …

Segmentation algorithm for non-stationary compound Poisson processes: With an application to inventory time series of market members in a financial market

B Toth, F Lillo, JD Farmer - The European Physical Journal B, 2010 - Springer
We introduce an algorithm for the segmentation of a class of regime switching processes.
The segmentation algorithm is a non parametric statistical method able to identify the …

Multisource Bayesian sequential change detection

S Dayanik, HV Poor, SO Sezer - 2008 - projecteuclid.org
Suppose that local characteristics of several independent compound Poisson and Wiener
processes change suddenly and simultaneously at some unobservable disorder time. The …

Bandit problems with Lévy processes

A Cohen, E Solan - Mathematics of Operations Research, 2013 - pubsonline.informs.org
Bandit problems model the trade-off between exploration and exploitation in various
decision problems. We study two-armed bandit problems in continuous time, where the risky …

Detecting Abrupt Changes in Point Processes: Fundamental Limits and Applications

A Brandenberger, E Mossel, A Sridhar - arXiv preprint arXiv:2501.08392, 2025 - arxiv.org
We consider the problem of detecting abrupt changes (ie, large jump discontinuities) in the
rate function of a point process. The rate function is assumed to be fully unknown, non …

Compound Poisson disorder problems with nonlinear detection delay penalty cost functions

S Dayanik - Sequential Analysis, 2010 - Taylor & Francis
The quickest detection of the unknown and unobservable disorder time, when the arrival
rate and mark distribution of a compound Poisson process suddenly changes, is formulated …

[PDF][PDF] Sequential Common Change Detection, Isolation, and Estimation in Multiple Compound Poisson Processes

DY Kim, WB Wu, Y Wu - Submitted manuscript, 2023 - researchgate.net
The detection of change of both the arrival rate and jump size mean in a compound Poisson
process is studied and compared at the first time by using the CUSUM and Shiryayev …

Robustness of the N-CUSUM stopping rule in a Wiener disorder problem

H Zhang, N Rodosthenous, O Hadjiliadis - 2015 - projecteuclid.org
We study a Wiener disorder problem of detecting the minimum of N change-points in N
observation channels coupled by correlated noises. It is assumed that the observations in …