Alexander (University of Connecticut, Storrs, USA) Tartakovsky 
Sequential Change Detection and Hypothesis Testing [PDF ebook] 
General Non-i.i.d. Stochastic Models and Asymptotically Optimal Rules

Statistical methods for sequential hypothesis testing and changepoint detection have applications across many fields, including quality control, biomedical engineering, communication networks, econometrics, image processing, security, etc. This book presents an overview of methodology in these related areas, providing a synthesis of research from the last few decades. The methods are illustrated through real data examples, and software is referenced where possible. The emphasis is on providing all the theoretical details in a unified framework, with pointers to new research directions.