Detecting changes in the second moment structure of high-dimensional sensor-type data in a K-sample setting

DOI10.1080/07474946.2020.1823192MaRDI QIDQ4965652zbMATH OpenOpenAlexFDO

Authors Nils Mause, Ansgar Steland

Publication date 9 March 2021

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.05204

zbMATH Keywords

data sciencetime serieschange pointsmultivariate analysisBrownian motionstrong approximationlinear processsensor monitoring

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Statistical aspects of big data and data science (62R07) Estimation in multivariate analysis (62H12) Sequential statistical analysis (62L10) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17)

Abstract: The $K$ sample problem for high-dimensional vector time series is studied, especially focusing on sensor data streams, in order to analyze the second moment structure and detect changes across samples and/or across variables cumulated sum (CUSUM) statistics of bilinear forms of the sample covariance matrix. In this model $K$ independent vector time series $mathbf{Y}_{T,1},dots,mathbf{Y}_{T,K}$ are observed over a time span $[0,T]$, which may correspond to $K$ sensors (locations) yielding $d$-dimensional data as well as $K$ locations where $d$ sensors emit univariate data. Unequal sample sizes are considered as arising when the sampling rate of the sensors differs. We provide large sample approximations and two related change-point statistics, a sums of squares and a pooled variance statistic. The resulting procedures are investigated by simulations and illustrated by analyzing a real data set.

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Cited in

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• Testing and estimating change-points in the covariance matrix of a high-dimensional time series

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