Quickest Changepoint Detection: Optimality Properties of the Shiryaev-Roberts-Type Procedures

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• Tartakovsky , A (University of Connecticut)
• Friday 17 January 2014, 10:15-11:00
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact Mustapha Amrani.

Inference for Change-Point and Related Processes

We consider a changepoint problem of detecting an abrupt change in a process in a sequential setting when one wants to design a detection procedure that minimizes the average delay to detection of a change subject to constraints on the false alarm rate. A brief overview of the field as well as recent advances will be presented with the focus on a simple scenario where both pre- and post-change distributions are known. Optimality properties of the conventional Shiryaev-Roberts detection procedure and its modifications will be discussed.

This talk is part of the Isaac Newton Institute Seminar Series series.

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