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Change-point detection and analysis

Siegmund, D (Stanford University)
Monday 13 January 2014, 14:00-15:00

Seminar Room 1, Newton Institute


Change-point detection had its origins almost sixty years ago in the work of Page, Shiryayev, and Lorden, who focused on sequential detection of a change-point in an observed process. The observations were typically regarded as measurements of the quality of a continuous production process, and the change-point indicated a deterioration in quality that must be detected and corrected. Recent applications, especially in genetics and in fMRI analysis, have led to a variety of new fixed sample change-point problems and other problems of local signal detection having the same essential structure. In this talk I will review this history and common features of likelihood based approaches.


[pdf ]


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