Non-Bayesian multiple change-point detection controlling false discovery rate

Jie Chen, Wenyi Zhang, H. Vincent Poor

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Scopus citations

Abstract

A sequential procedure for non-Bayesian multiple change-point problems subject to false discovery rate (FDR) control is considered. The procedure may be viewed as a variant of Benjanmini and Hochberg's procedure tailored for change-point detection problems. A theoretical guarantee for the procedure's FDR is established. Further, sequential procedures that control the FDR and the familywise error rate are compared in terms of the average detection delay.

Original languageEnglish (US)
Title of host publicationProceedings - ISIT 2016; 2016 IEEE International Symposium on Information Theory
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages31-35
Number of pages5
ISBN (Electronic)9781509018062
DOIs
StatePublished - Aug 10 2016
Event2016 IEEE International Symposium on Information Theory, ISIT 2016 - Barcelona, Spain
Duration: Jul 10 2016Jul 15 2016

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
Volume2016-August
ISSN (Print)2157-8095

Other

Other2016 IEEE International Symposium on Information Theory, ISIT 2016
CountrySpain
CityBarcelona
Period7/10/167/15/16

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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  • Cite this

    Chen, J., Zhang, W., & Poor, H. V. (2016). Non-Bayesian multiple change-point detection controlling false discovery rate. In Proceedings - ISIT 2016; 2016 IEEE International Symposium on Information Theory (pp. 31-35). [7541255] (IEEE International Symposium on Information Theory - Proceedings; Vol. 2016-August). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISIT.2016.7541255