论文标题
数据自适应对称库,用于顺序更改检测
Data-Adaptive Symmetric CUSUM for Sequential Change Detection
论文作者
论文摘要
在流设置中依次检测变更点,尤其是当信号的均值和差异都可以变化时,通常是一项具有挑战性的任务。在这种情况下,一个关键困难通常涉及设置适当的检测阈值,对于许多标准变更统计,可能需要根据变更前和变更后分布来调整统计信息。当信号在多个分布之间切换时,这在连续更改检测设置中提出了挑战。例如,考虑一个信号,即通过信号的平均值和方差增加/减小来指示变化点。在这种情况下,我们希望能够将我们的变更统计量与固定阈值进行比较,这将是对称增加或减少均值和差异的。不幸的是,使用对数 - 样比率(例如Cusum和Glr)的变更点检测方案很快就会反应变化,但当信号变化的均值和方差都不是对称的。这使得很难设置一个阈值以在流设置中顺序检测多个变更点。我们提出了一个修改版本的Cusum版本,我们称其为数据自适应对称库司(DAS-CUSUM)。 DAS-CUSUM变更点检测过程是在分布之间进行更改的对称性,因此它适合在流设置中依次设置单个阈值以依次检测多个变更点。我们提供了与我们提出的程序的预期检测延迟和平均运行长度有关的结果。广泛的模拟用于验证这些结果。对现实世界数据的实验进一步显示了在Cusum和Glr上使用DAS-CUSUM的实用性。
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 detection threshold, which for many standard change statistics may need to be tuned depending on the pre-change and post-change distributions. This presents a challenge in a sequential change detection setting when a signal switches between multiple distributions. For example, consider a signal where change points are indicated by increases/decreases in the mean and variance of the signal. In this context, we would like to be able to compare our change statistic to a fixed threshold that will be symmetric to either increases or decreases in the mean and variance. Unfortunately, change point detection schemes that use the log-likelihood ratio, such as CUSUM and GLR, are quick to react to changes but are not symmetric when both the mean and the variance of the signal change. This makes it difficult to set a single threshold to detect multiple change points sequentially in a streaming setting. We propose a modified version of CUSUM that we call Data-Adaptive Symmetric CUSUM (DAS-CUSUM). The DAS-CUSUM change point detection procedure is symmetric for changes between distributions, making it suitable to set a single threshold to detect multiple change points sequentially in a streaming setting. We provide results that relate to the expected detection delay and average run length for our proposed procedure. Extensive simulations are used to validate these results. Experiments on real-world data further show the utility of using DAS-CUSUM over both CUSUM and GLR.