Related papers: Online Detection Of Supply Chain Network Disruptio…

We present a new CUSUM procedure for sequentially detecting change-point in the self and mutual exciting processes, a.k.a. Hawkes networks using discrete events data. Hawkes networks have become a popular model for statistics and machine…

We consider online monitoring of the network event data to detect local changes in a cluster when the affected data stream distribution shifts from one point process to another with different parameters. Specifically, we are interested in…

We investigate sequential change point estimation and detection in univariate nonparametric settings, where a stream of independent observations from sub-Gaussian distributions with a common variance factor and piecewise-constant but…

We investigate the online detection of changepoints in the distribution of a sequence of observations using degenerate U-statistic-type processes. We study weighted versions of: an ordinary, CUSUM-type scheme, a Page-CUSUM-type scheme, and…

A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…

Many modern applications of online changepoint detection require the ability to process high-frequency observations, sometimes with limited available computational resources. Online algorithms for detecting a change in mean often involve…

We consider the online monitoring of multivariate streaming data for changes that are characterized by an unknown subspace structure manifested in the covariance matrix. In particular, we consider the covariance structure changes from an…

We study online changepoint detection in the context of a linear regression model. We propose a class of heavily weighted statistics based on the CUSUM process of the regression residuals, which are specifically designed to ensure timely…

We propose a family of weighted statistics based on the CUSUM process of the WLS residuals for the online detection of changepoints in a Random Coefficient Autoregressive model, using both the standard CUSUM and the Page-CUSUM process. We…

We study the parametric online changepoint detection problem, where the underlying distribution of the streaming data changes from a known distribution to an alternative that is of a known parametric form but with unknown parameters. We…

Change point detection in covariance structures is a fundamental and crucial problem for sequential data. Under the high-dimensional setting, most of the existing research has focused on identifying change points in historical data.…

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…

Cascading chains of events are a salient feature of many real-world social, biological, and financial networks. In social networks, social reciprocity accounts for retaliations in gang interactions, proxy wars in nation-state conflicts, or…

Sequential (online) change-point detection involves continuously monitoring time-series data and triggering an alarm when shifts in the data distribution are detected. We propose an algorithm for real-time identification of alterations in…

Change-point detection, detecting an abrupt change in the data distribution from sequential data, is a fundamental problem in statistics and machine learning. CUSUM is a popular statistical method for online change-point detection due to…

High-dimensional streaming data are becoming increasingly ubiquitous in many fields. They often lie in multiple low-dimensional subspaces, and the manifold structures may change abruptly on the time scale due to pattern shift or occurrence…

Interactions among people or objects are often dynamic in nature and can be represented as a sequence of networks, each providing a snapshot of the interactions over a brief period of time. An important task in analyzing such evolving…

High dimensional piecewise stationary graphical models represent a versatile class for modelling time varying networks arising in diverse application areas, including biology, economics, and social sciences. There has been recent work in…

We present a computationally efficient online kernel Cumulative Sum (CUSUM) method for change-point detection that utilizes the maximum over a set of kernel statistics to account for the unknown change-point location. Our approach exhibits…

We propose an online detection procedure for cascading failures in the network from sequential data, which can be modeled as multiple correlated change-points happening during a short period. We consider a temporal diffusion network model…