Related papers: Sequential change point detection in high dimensio…
It is commonly required to detect change points in sequences of random variables. In the most difficult setting of this problem, change detection must be performed sequentially with new observations being constantly received over time.…
As contemporary software-intensive systems reach increasingly large scale, it is imperative that failure detection schemes be developed to help prevent costly system downtimes. A promising direction towards the construction of such schemes…
Most studies in real time change-point detection either focus on the linear model or use the CUSUM method under classical assumptions on model errors. This paper considers the sequential change-point detection in a nonlinear quantile model.…
We consider the offline change point detection and localization problem in the context of piecewise stationary networks, where the observable is a finite sequence of networks. We develop algorithms involving some suitably modified CUSUM…
Detecting change points sequentially in a streaming setting, especially when both the mean and the variance of the signal can change, is often a challenging task. A key difficulty in this context often involves setting an appropriate…
Online detection of instantaneous changes in the generative process of a data sequence generally focuses on retrospective inference of such change points without considering their future occurrences. We extend the Bayesian Online Change…
In this paper, we study change-point testing for high-dimensional linear models, an important problem that has not been well explored in the literature. Specifically, we propose a quadratic-form cumulative sum (CUSUM) statistic to test the…
High-dimensional changepoint analysis is a growing area of research and has applications in a wide range of fields. The aim is to accurately and efficiently detect changepoints in time series data when both the number of time points and…
A generalized multisensor sequential change detection problem is considered, in which a number of (possibly correlated) sensors monitor an environment in real time, the joint distribution of their observations is determined by a global…
We suggest a novel procedure for online change point detection. Our approach expands an idea of maximizing a discrepancy measure between points from pre-change and post-change distributions. This leads to flexible algorithms suitable for…
Consider $d$ dependent change point tests, each based on a CUSUM-statistic. We provide an asymptotic theory that allows us to deal with the maximum over all test statistics as both the sample size $n$ and $d$ tend to infinity. We achieve…
Testing for change points in sequences of covariance matrices is an important and equally challenging problem in statistical methodology with applications in various fields. Motivated by the observation that even in cases where the ratio…
Detecting change-points in data is challenging because of the range of possible types of change and types of behaviour of data when there is no change. Statistically efficient methods for detecting a change will depend on both of these…
Robust change-point detection for large-scale data streams has many real-world applications in industrial quality control, signal detection, biosurveillance. Unfortunately, it is highly non-trivial to develop efficient schemes due to three…
We address the issue of detecting changes of models that lie behind a data stream. The model refers to an integer-valued structural information such as the number of free parameters in a parametric model. Specifically we are concerned with…
The purpose of this study is to provide a new methodology of how one can consistently estimate a change-point in time series data. In contrast with previous studies, the suggested methodology employs only the empirical spectral density and…
The paper addresses a sequential changepoint detection problem, assuming that the duration of change may be finite and unknown. This problem is of importance for many applications, e.g., for signal and image processing where signals appear…
This paper considers the problems of detecting a change point and estimating the location in the correlation matrices of a sequence of high-dimensional vectors, where the dimension is large enough to be comparable to the sample size or even…
In standardized educational testing, test items are reused in multiple test administrations. To ensure the validity of test scores, the psychometric properties of items should remain unchanged over time. In this paper, we consider the…
The problem of decentralized sequential change detection is considered, where an abrupt change occurs in an area monitored by a number of sensors; the sensors transmit their data to a fusion center, subject to bandwidth and energy…