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arXiv · 2605.23419

Generalized Stochastic Approximation of the Log-Likelihood Ratio for Robust Sequential Change-Point Detection

Serhii Zabolotnii
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Abstract

Generalized stochastic approximation replaces the log-likelihood ratio of a sequential change-point problem by an affine function of a fixed feature dictionary, whose coefficients solve a normal system in the dictionary's moments under the pre- and post-change laws. The increment is a rescaled orthogonal projection of the bounded score, and the information it carries is bounded by the triangular discrimination between the laws. The dictionary decides what is detectable: a symmetry shared by both laws annihilates a whole parity at every order, and one further column raises the information by an explicit bordered-metric increment. A single efficiency factor, at most one, governs all three procedures the increment drives -- cumulative-sum, Shiryaev-Roberts and Shiryaev -- through false-alarm and delay bounds valid at every threshold. Estimated coefficients are consistent and asymptotically normal. A Monte-Carlo study measures the factor against the delay ratio it predicts, and locates the order at which the dictionary stops paying.

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Serhii Zabolotnii. 2026-05-22. Generalized Stochastic Approximation of the Log-Likelihood Ratio for Robust Sequential Change-Point Detection. https://arxiv.org/abs/2605.23419

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