Sequential change-point detection via the Cross-Entropy method

Georgy Sofronov; Tatiana Polushina; Madawa Priyadarshana

doi:10.1109/NEUREL.2012.6420004

Sequential change-point detection via the Cross-Entropy method

Georgy Sofronov^*, Tatiana Polushina, Madawa Priyadarshana

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

8 Citations (Scopus)

Abstract

Change-point problems (or break point problems, disorder problems) can be considered one of the central issues of statistics, connecting asymptotic statistical theory and Monte Carlo methods, frequentist and Bayesian approaches, fixed and sequential procedures. In many real applications, observations are taken sequentially over time, or can be ordered with respect to some other criterion. The basic question, therefore, is whether the data obtained are generated by one or by many different probabilistic mechanisms. Change-point problems arise in a wide variety of fields, including biomedical signal processing, speech and image processing, climatology, industry (e.g. fault detection) and financial mathematics. In this paper, we apply the Cross-Entropy method to a sequential change-point problem. We obtain estimates for thresholds in the Shiryaev-Roberts procedure and the CUSUM procedure. We provide examples with generated sequences to illustrate the effectiveness of our approach to the problem.

Original language	English
Title of host publication	11th Symposium on Neural Network Applications in Electrical Engineering,NEUREL 2012 - Proceedings
Place of Publication	Piscataway, N.J.
Publisher	Institute of Electrical and Electronics Engineers (IEEE)
Pages	185-188
Number of pages	4
ISBN (Electronic)	9781467315722
ISBN (Print)	9781467315692
DOIs	https://doi.org/10.1109/NEUREL.2012.6420004
Publication status	Published - 2012
Event	2012 9th International Conference on High Capacity Optical Networks and Enabling Technologies, HONET 2012 - Istanbul, Turkey Duration: 14 Dec 2012 → 14 Dec 2012

Other

Other	2012 9th International Conference on High Capacity Optical Networks and Enabling Technologies, HONET 2012
Country	Turkey
City	Istanbul
Period	14/12/12 → 14/12/12

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10.1109/NEUREL.2012.6420004

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title = "Sequential change-point detection via the Cross-Entropy method",

abstract = "Change-point problems (or break point problems, disorder problems) can be considered one of the central issues of statistics, connecting asymptotic statistical theory and Monte Carlo methods, frequentist and Bayesian approaches, fixed and sequential procedures. In many real applications, observations are taken sequentially over time, or can be ordered with respect to some other criterion. The basic question, therefore, is whether the data obtained are generated by one or by many different probabilistic mechanisms. Change-point problems arise in a wide variety of fields, including biomedical signal processing, speech and image processing, climatology, industry (e.g. fault detection) and financial mathematics. In this paper, we apply the Cross-Entropy method to a sequential change-point problem. We obtain estimates for thresholds in the Shiryaev-Roberts procedure and the CUSUM procedure. We provide examples with generated sequences to illustrate the effectiveness of our approach to the problem.",

author = "Georgy Sofronov and Tatiana Polushina and Madawa Priyadarshana",

year = "2012",

doi = "10.1109/NEUREL.2012.6420004",

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booktitle = "11th Symposium on Neural Network Applications in Electrical Engineering,NEUREL 2012 - Proceedings",

publisher = "Institute of Electrical and Electronics Engineers (IEEE)",

address = "United States",

note = "2012 9th International Conference on High Capacity Optical Networks and Enabling Technologies, HONET 2012 ; Conference date: 14-12-2012 Through 14-12-2012",

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Sofronov, G, Polushina, T & Priyadarshana, M 2012, Sequential change-point detection via the Cross-Entropy method. in 11th Symposium on Neural Network Applications in Electrical Engineering,NEUREL 2012 - Proceedings., 6420004, Institute of Electrical and Electronics Engineers (IEEE), Piscataway, N.J., pp. 185-188, 2012 9th International Conference on High Capacity Optical Networks and Enabling Technologies, HONET 2012, Istanbul, Turkey, 14/12/12. https://doi.org/10.1109/NEUREL.2012.6420004

Sequential change-point detection via the Cross-Entropy method. / Sofronov, Georgy; Polushina, Tatiana; Priyadarshana, Madawa.

11th Symposium on Neural Network Applications in Electrical Engineering,NEUREL 2012 - Proceedings. Piscataway, N.J. : Institute of Electrical and Electronics Engineers (IEEE), 2012. p. 185-188 6420004.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

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