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arXiv · 1906.03001

Online Graph-Based Change-Point Detection for High Dimensional Data

Yang-Wen Sun·Katerina Papagiannouli·Vladmir Spokoiny
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Abstract

Online change-point detection (OCPD) is important for application in various areas such as finance, biology, and the Internet of Things (IoT). However, OCPD faces major challenges due to high-dimensionality, and it is still rarely studied in literature. In this paper, we propose a novel, online, graph-based, change-point detection algorithm to detect change of distribution in low- to high-dimensional data. We introduce a similarity measure, which is derived from the graph-spanning ratio, to test statistically if a change occurs. Through numerical study using artificial online datasets, our data-driven approach demonstrates high detection power for high-dimensional data, while the false alarm rate (type I error) is controlled at a nominal significant level. In particular, our graph-spanning approach has desirable power with small and multiple scanning window, which allows timely detection of change-point in the online setting.

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Yang-Wen Sun, Katerina Papagiannouli, Vladmir Spokoiny. 2019-06-07. Online Graph-Based Change-Point Detection for High Dimensional Data. https://arxiv.org/abs/1906.03001

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