Asymptotically optimal quickest change detection in multistream data -- Part 1: General stochastic models
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Publication:2176371
surveillancestatistical process controlchangepoint detectionhidden Markov modelsasymptotic optimality\(r\)-complete convergencegeneral non-i.i.d. modelsmoments of the delay to detection
Markov processes: estimation; hidden Markov models (62M05) Sequential statistical analysis (62L10) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Abstract: Assume that there are multiple data streams (channels, sensors) and in each stream the process of interest produces generally dependent and non-identically distributed observations. When the process is in a normal mode (in-control), the (pre-change) distribution is known, but when the process becomes abnormal there is a parametric uncertainty, i.e., the post-change (out-of-control) distribution is known only partially up to a parameter. Both the change point and the post-change parameter are unknown. Moreover, the change affects an unknown subset of streams, so that the number of affected streams and their location are unknown in advance. A good changepoint detection procedure should detect the change as soon as possible after its occurrence while controlling for a risk of false alarms. We consider a Bayesian setup with a given prior distribution of the change point and propose two sequential mixture-based change detection rules, one mixes a Shiryaev-type statistic over both the unknown subset of affected streams and the unknown post-change parameter and another mixes a Shiryaev-Roberts-type statistic. These rules generalize the mixture detection procedures studied by Tartakovsky (2018) in a single-stream case. We provide sufficient conditions under which the proposed multistream change detection procedures are first-order asymptotically optimal with respect to moments of the delay to detection as the probability of false alarm approaches zero.
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Cited in
(10)- Optimal sequential detection in multi-stream data
- Sequential multi-sensor change-point detection
- Asymptotic optimality theory for active quickest detection with unknown postchange parameters
- Asymptotically Optimal Quickest Change Detection in Distributed Sensor Systems
- Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty
- Quickest changepoint detection in general multistream stochastic models: recent results, applications and future challenges
- Asymptotically pointwise optimal change detection in multiple channels
- General Asymptotic Bayesian Theory of Quickest Change Detection
- Multidecision Quickest Change-Point Detection: Previous Achievements and Open Problems
- Large-Scale Multi-Stream Quickest Change Detection via Shrinkage Post-Change Estimation
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