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SUMMARY:Quickest Changepoint Detection: Optimality Properties of the Shiry
 aev-Roberts-Type Procedures - Tartakovsky \, A (University of Connecticut)
DTSTART:20140117T101500Z
DTEND:20140117T110000Z
UID:TALK50030@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We consider a changepoint problem of detecting an abrupt chang
 e in a process in a sequential setting when one wants to design a detectio
 n procedure that minimizes the average delay to detection of a change subj
 ect 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 sc
 enario where both pre- and post-change distributions are known. Optimality
  properties of the conventional Shiryaev-Roberts detection procedure and i
 ts modifications will be discussed.\n
LOCATION:Seminar Room 1\, Newton Institute
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