Large-Scale Multi-Stream Quickest Change Detection via Shrinkage Post-Change Estimation

DOI10.1109/TIT.2015.2495361zbMATH Open1359.94227arXiv1308.5738MaRDI QIDQ2977196FDOQ2977196

Authors:

Publication date: 28 April 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: The quickest change detection problem is considered in the context of monitoring large-scale independent normal distributed data streams with possible changes in some of the means. It is assumed that for each individual local data stream, either there are no local changes, or there is a "big" local change that is larger than a pre-specified lower bound. Two different kinds of scenarios are studied: one is the sparse post-change case when the unknown number of affected data streams is much smaller than the total number of data streams, and the other is when all local data streams are affected simultaneously although not necessarily identically. We propose a systematic approach to develop efficient global monitoring schemes for quickest change detection by combining hard thresholding with linear shrinkage estimators to estimating all post-change parameters simultaneously. Our theoretical analysis demonstrates that the shrinkage estimation can balance the tradeoff between the first-order and second-order terms of the asymptotic expression on the detection delays, and our numerical simulation studies illustrate the usefulness of shrinkage estimation and the challenge of Monte Carlo simulation of the average run length to false alarm in the context of online monitoring large-scale data streams.

Full work available at URL: https://arxiv.org/abs/1308.5738

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Mathematics Subject Classification ID

Detection theory in information and communication theory (94A13)

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• Asymptotic optimality theory for active quickest detection with unknown postchange parameters
• Adaptive Change Point Monitoring for High-Dimensional Data
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• Discussion on ``Sequential detection/isolation of abrupt changes by Igor V. Nikiforov
• Bandit Change-Point Detection for Real-Time Monitoring High-Dimensional Data Under Sampling Control
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