Sequential Detection of Common Change in High-dimensional Data Stream

arXiv2206.11727MaRDI QIDQ6402964FDOQ6402964

Yanhong Wu, Wei Biao Wu

Publication date: 23 June 2022

Abstract: After obtaining an accurate approximation for $AR{L}_0$, we first consider the optimal design of weight parameter for a multivariate EWMA chart that minimizes the stationary average delay detection time (SADDT). Comparisons with moving average (MA), CUSUM, generalized likelihood ratio test (GLRT), and Shiryayev-Roberts (S-R) charts after obtaining their $AR{L}_0$ and SADDT's are conducted numerically. To detect the change with sparse signals, hard-threshold and soft-threshold EWMA charts are proposed. Comparisons with other charts including adaptive techniques show that the EWMA procedure should be recommended for its robust performance and easy design.

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