The problem of sequential change diagnosis is considered, where a sequence of independent random elements is accessed sequentially, there is an abrupt change in its distribution at some unknown time, and there are two main operational goals: to quickly detect the change, and to accurately identify upon stopping the post-change distribution among a finite set of alternatives. The focus is on the min-CuSum algorithm, which raises an alarm as soon as a CuSum statistic that corresponds to one of the post-change alternatives exceeds a certain threshold. We obtain, under certain assumptions, non-asymptotic upper bounds on its conditional probability of misidentification given that a false alarm did not occur. When, in particular, the data are generated over independent channels and the change can occur in only one of them, its worst-case—with respect to the change point—conditional probability of misidentification given that there was not a false alarm is shown to decay exponentially fast in the threshold. As a corollary, in this setup, the min-CuSum is shown to asymptotically minimize Lorden’s detection delay criterion, simultaneously for every post-change scenario, within the class of schemes that satisfy prescribed bounds on both the false alarm rate and the worst-case conditional probability of misidentification, in a regime where the latter does not go to zero faster than the former. Finally, these theoretical results are also illustrated in simulation studies.

The problem of sequential change diagnosis is considered, where a sequence of independent random elements is accessed sequentially, there is an abrupt change in its distribution at some unknown time, and there are two main operational goals: to quickly detect the change and to accurately identify the post-change distribution among a finite set of alternatives. A standard algorithm is considered, which does not explicitly address the isolation task and raises an alarm as soon as the CuSum statistic that corresponds to one of the post-change alternatives exceeds a certain threshold. It is shown that in certain cases, such as the so-called multichannel problem, this algorithm controls the worst-case conditional probability of false isolation and minimizes Lorden’s criterion, for every possible post-change distribution, to a first-order asymptotic approximation as the false alarm rate goes to zero sufficiently faster than the worst-case conditional probability of false isolation. These theoretical results are also illustrated with a numerical study.