Estimation of common change point and isolation of changed panels after sequential detection

DOI10.1080/07474946.2020.1726685MaRDI QIDQ5113794zbMATH OpenOpenAlexFDO

Authors Yanhong Wu

Publication date 17 June 2020

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.02097

zbMATH Keywords

common changeCUSUM and SR procedureFDR and FNRisolation of changed panel

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10) Causal inference from observational studies (62D20) Optimal stopping in statistics (62L15)

Abstract: Quick detection of common changes is critical in sequential monitoring of multi-stream data where a common change is referred as a change that only occurs in a portion of panels. After a common change is detected by using a combined CUSUM-SR procedure, we first study the joint distribution for values of the CUSUM process and the estimated delay detection time for the unchanged panels. The BH method by using the asymptotic exponential property for the CUSUM process is developed to isolate the changed panels with the control on FDR. The common change point is then estimated based on the isolated changed panels. Simulation results show that the proposed method can also control the FNR by properly selecting FDR.

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Cites work

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Cited in

(8)

• Sequential common rate decrease detection, isolation, and estimation in multiple Poisson processes
• ARL estimation of the control chart of log likelihood ratios' sum for Markov sequence
• Sequential multi-sensor change-point detection
• Isolating changed panels and estimating common change point after sequential detection with FDR control
• Asymptotic optimality theory for active quickest detection with unknown postchange parameters
• Common change-point estimation and changed panel isolation after sequential detection in an exponential family
• Sequential common change detection, isolation, and estimation in multiple Poisson processes
• A combined SR-CUSUM procedure for detecting common changes in panel data

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