Change-Points: From Sequential Detection to Biology and Back

摘要

Modern change-point detection had its origins about 50 years ago in the work of Page, Shiryaev, and Lorden, who focused on sequential detection of a change-point in a sequence of observations. Motivation often arose from sequential quality control: to detect a disruption in the quality of a continuous production process. More recently, motivation from a broad range of applications has led to a variety of different problem formulations. In this article I will review this history with particular attention to a selected subset of applications arising in biology and to common features of different likelihood-based formulations.