Could someone point me to an introductory-level explanation (think Wikipedia entry) of what sequential change point detection is?


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    $\begingroup$ Maybe this can help: research.ibm.com/PM/sigt98.ps and www-bcf.usc.edu/~liu32/cs599/Time_series.pdf $\endgroup$ – Shai Covo May 27 '11 at 1:38
  • $\begingroup$ @Shai: I'm not familiar with this topic, so I'd like to ask your advice: do you think it would be appropriate to migrate this question to stats.SE? $\endgroup$ – Zev Chonoles Jun 26 '11 at 5:00
  • $\begingroup$ @Zev: I am also not familiar with this topic, but it is evident from the content of the linked document entitled "An Introduction to Change-Point Detection" (the .ps file) that, indeed, it would be appropriate to migrate this question to stats.SE. $\endgroup$ – Shai Covo Jun 26 '11 at 7:56

In a nutshell, change detection is the problem of determining changes in the distribution of a stochastic process when the decision is made as observations arrive.

The relevant Wikipedia article is this.


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