相关论文: Covariate-dependent control limits for the detecti…

The problem of sequentially detecting a moving anomaly which affects different parts of a sensor network with time is studied. Each network sensor is characterized by a non-anomalous and anomalous distribution, governing the generation of…

This paper presents a novel density estimation method for anomaly detection using density matrices (a powerful mathematical formalism from quantum mechanics) and Fourier features. The method can be seen as an efficient approximation of…

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.…

In this paper we introduce a new method for detecting outliers in a set of proportions. It is based on the construction of a suitable two-way contingency table and on the application of an algorithm for the detection of outlying cells in…

Anomaly detection is essential for identifying rare and significant events across diverse domains such as finance, cybersecurity, and network monitoring. This paper presents Synthetic Anomaly Monitoring (SAM), an innovative approach that…

Anomaly detection aims to identify observations that deviate from the typical pattern of data. Anomalous observations may correspond to financial fraud, health risks, or incorrectly measured data in practice. We show detecting anomalies in…

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…

Simultaneously monitoring changes in both the mean and variance is a fundamental problem in Statistical Process Control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations:…

Anomalies can be defined as any non-random structure which deviates from normality. Anomaly detection methods reported in the literature are numerous and diverse, as what is considered anomalous usually varies depending on particular…

In this paper we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, Ball and Queyranne (2009) have…

Anti-doping programs rely on biological testing to detect performance-enhancing drugs, but such testing costs over $800 per sample and is limited by short detection windows for many prohibited substances. These constraints leave large…

The box-and-whisker plot, introduced by Tukey (1977), is one of the most popular graphical methods in descriptive statistics. On the other hand, however, Tukey's boxplot is free of sample size, yielding the so-called "one-size-fits-all"…

During the last few decades, online controlled experiments (also known as A/B tests) have been adopted as a golden standard for measuring business improvements in industry. In our company, there are more than a billion users participating…

This paper investigates change-point of variance in panel data models with time series of $\alpha$-mixing. Based on the cumulative sum (CUSUM) method and the individual differences, we construct a CUSUM test for panel data models to detect…

A method for change point detection is proposed. We consider a univariate sequence of independent random variables with piecewise constant expectation and variance, apart from which the distribution may vary periodically. We aim to detect…

Quick detection of common changes is critical in sequential monitoring of multi-stream data where a common change is referred as a change that only occurs in a portion of panels. After a common change is detected by using a combined…

While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with…

We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…

We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread…

Since the inception of Bitcoin in 2009, the market of cryptocurrencies has grown beyond initial expectations as daily trades exceed $10 billion. As industries become automated, the need for an automated fraud detector becomes very apparent.…