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arXiv · 2112.06308

Detection and Estimation of Multiple Transient Changes

Baron Michael·Malov Sergey V
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Abstract

Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment and return to the initial state. A base distribution of the "in-control" state changes to an "out-of-control" distribution for unknown periods of time. Likelihood based sequential and retrospective tools are proposed for the detection and estimation of each pair of change-points. The accuracy of the obtained change-point estimates is assessed. Proposed methods offer simultaneous control the familywise false alarm and false readjustment rates at the pre-chosen levels.

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Baron Michael, Malov Sergey V. 2021-12-12. Detection and Estimation of Multiple Transient Changes. https://arxiv.org/abs/2112.06308

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