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Statistics Seminar - Dr. Aleksey Polunchenko (State University of New York at Binghamton)

Event Type
Georgios Fellouris
106B1 Engineering Hall
Apr 14, 2016   3:30 pm  
Aleksey Polunchenko, Binghamton University

Title: Quickest Change-Point Detection: The Shiryaev--Roberts Approach

Abstract: Sequential (quickest) change-point detection is the branch of statistics concerned with the design and analysis of methods for rapid but reliable anomaly detection in ``live'' monitored processes. The subject's areas of application are virtually unlimited, and include quality and process control, anomaly and failure detection, surveillance and security, finance, seismology, navigation, intrusion detection, boundary tracking---to name a few. We provide a brief overview of the state-of-the-art in quickest change-point detection with particular emphasis placed on the recently proposed Generalized Shiryaev--Roberts (GSR) detection procedure (it was proposed in 2008, but the paper came out only in 2011). Notwithstanding its relatively ``young age'', the GSR procedure has already been shown to have strong optimality properties not exhibited by such mainstream detection methods as the Cumulative Sum (CUSUM) ``inspection scheme'' and the Exponentially Weighted Moving Average (EWMA) chart.

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