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

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.