TU2.R4.4

Monitoring High-dimensional Streaming Data via Fusing Nonparametric Shiryaev-Roberts Statistics

Xinyuan Zhang, Yajun Mei, Georgia Institute of Technology, United States

Session:
Change Point Detection

Track:
11: Information Theory and Statistics

Location:
Omikron II

Presentation Time:
Tue, 9 Jul, 12:30 - 12:50

Session Chair:
Yajun Mei,
Abstract
Monitoring high-dimensional streaming data has a wide range of applications in science, engineering, and industry. In this work, we propose an efficient and robust sequential change-point detection algorithm for monitoring high-dimensional streaming data. It has two components. At the local level, we adopt a window-limited nonparametric Shiryaev-Roberts (WL-NPSR) statistic for detecting potential distribution changes at each dimension of the streaming data. At the global level, we fuse local WL-NPSR statistics together to construct a global monitoring statistic via quantile filtering and sum-shrinkage functions. Theoretical analysis and extensive numerical experiments demonstrate the efficiency and robustness of our proposed algorithm.
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