Sorry, you need to enable JavaScript to visit this website.

facebooktwittermailshare

First-order optimal sequential subspace change-point detection

Abstract: 

We consider the sequential change-point detection problem of detecting changes that are characterized by a subspace structure. Such changes are frequent in high-dimensional streaming data altering the form of the corresponding covariance matrix. In this work we present a Subspace-CUSUM procedure and demonstrate its first-order asymptotic optimality properties for the case where the subspace structure is unknown and needs to be simultaneously estimated. To achieve this goal we develop a suitable analytical methodology that includes a proper parameter optimization for the proposed detection scheme. Numerical simulations corroborate our theoretical findings.

up
0 users have voted:

Paper Details

Authors:
Liyan Xie, George V. Moustakides, Yao Xie
Submitted On:
21 November 2018 - 7:42pm
Short Link:
Type:
Presentation Slides
Event:
Presenter's Name:
Liyan Xie
Paper Code:
1206
Document Year:
2018
Cite

Document Files

GlobalSIP2018.pdf

(16 downloads)

Subscribe

[1] Liyan Xie, George V. Moustakides, Yao Xie, "First-order optimal sequential subspace change-point detection", IEEE SigPort, 2018. [Online]. Available: http://sigport.org/3706. Accessed: Dec. 16, 2018.
@article{3706-18,
url = {http://sigport.org/3706},
author = {Liyan Xie; George V. Moustakides; Yao Xie },
publisher = {IEEE SigPort},
title = {First-order optimal sequential subspace change-point detection},
year = {2018} }
TY - EJOUR
T1 - First-order optimal sequential subspace change-point detection
AU - Liyan Xie; George V. Moustakides; Yao Xie
PY - 2018
PB - IEEE SigPort
UR - http://sigport.org/3706
ER -
Liyan Xie, George V. Moustakides, Yao Xie. (2018). First-order optimal sequential subspace change-point detection. IEEE SigPort. http://sigport.org/3706
Liyan Xie, George V. Moustakides, Yao Xie, 2018. First-order optimal sequential subspace change-point detection. Available at: http://sigport.org/3706.
Liyan Xie, George V. Moustakides, Yao Xie. (2018). "First-order optimal sequential subspace change-point detection." Web.
1. Liyan Xie, George V. Moustakides, Yao Xie. First-order optimal sequential subspace change-point detection [Internet]. IEEE SigPort; 2018. Available from : http://sigport.org/3706