Sequential detection of three-dimensional signals under dependent noise

DOI10.1080/07474946.2017.1319674MaRDI QIDQ5361149zbMATH OpenOpenAlexFDO

Authors Annabel Prause, Ansgar Steland

Publication date 27 September 2017

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.07303

zbMATH Keywords

change-point problemscorrelated noise random fieldsimage processingmultivariate Brownian motionsampling theoremssequential detection

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50) Asymptotic distribution theory in statistics (62E20) Sequential statistical analysis (62L10) Random fields; image analysis (62M40)

Abstract: We study detection methods for multivariable signals under dependent noise. The main focus is on three-dimensional signals, i.e. on signals in the space-time domain. Examples for such signals are multifaceted. They include geographic and climatic data as well as image data, that are observed over a fixed time horizon. We assume that the signal is observed as a finite block of noisy samples whereby we are interested in detecting changes from a given reference signal. Our detector statistic is based on a sequential partial sum process, related to classical signal decomposition and reconstruction approaches applied to the sampled signal. We show that this detector process converges weakly under the no change null hypothesis that the signal coincides with the reference signal, provided that the spatial-temporal partial sum process associated to the random field of the noise terms disturbing the sampled signal con- verges to a Brownian motion. More generally, we also establish the limiting distribution under a wide class of local alternatives that allows for smooth as well as discontinuous changes. Our results also cover extensions to the case that the reference signal is unknown. We conclude with an extensive simulation study of the detection algorithm.

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• Multivariate extensions of isotonic regression and total variation denoising via entire monotonicity and Hardy-Krause variation
• Detecting changes in spatial-temporal image data based on quadratic forms
• Classifying Image Sequences with the Markov Chain Structure and Matrix Normal Distributions
• Detection of suspicious areas in non-stationary Gaussian fields and locally averaged non-Gaussian linear fields

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