Quickest Changepoint Detection: Optimality Properties of the Shiryaev-Roberts-Type Procedures
Seminar Room 1, Newton Institute
AbstractWe 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.
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