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ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS

Abstract: 

We consider the problem of quickly detecting an abrupt change of linear coefficients in linear regression models. In particular, the observer sequentially observes a sequence of observations $\{ (x_n; y_n) \}_{n=1}^{\infty}$, which is assumed to obey a linear regression model at each time slot n. Some of the coefficients in the linear model change at a fixed but unknown time $t$. The post-change linear coefficients are unknown to the observer. The observer aims to design an online algorithm to detect the model change based on his sequential observations. Two performance metrics, namely the worst case detection delay (WADD) and the average run length to false alarm (ARL2FA), are adopted to evaluate the performance of detection algorithms. We design a low complexity algorithm, termed as parallel sum algorithm, for the detection purpose. An asymptotic upper bound on WADD is provided under any given ARL2FA constraint.

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Paper Details

Authors:
Jun Geng, Bingwen Zhang, Lauren M. Huie, Lifeng Lai
Submitted On:
14 April 2018 - 2:11am
Short Link:
Type:
Poster
Event:
Presenter's Name:
Jun Geng
Paper Code:
1548
Document Year:
2016
Cite

Document Files

Poster_ICASSP2016.pdf

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[1] Jun Geng, Bingwen Zhang, Lauren M. Huie, Lifeng Lai, "ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS", IEEE SigPort, 2016. [Online]. Available: http://sigport.org/890. Accessed: Jun. 15, 2019.
@article{890-16,
url = {http://sigport.org/890},
author = {Jun Geng; Bingwen Zhang; Lauren M. Huie; Lifeng Lai },
publisher = {IEEE SigPort},
title = {ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS},
year = {2016} }
TY - EJOUR
T1 - ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS
AU - Jun Geng; Bingwen Zhang; Lauren M. Huie; Lifeng Lai
PY - 2016
PB - IEEE SigPort
UR - http://sigport.org/890
ER -
Jun Geng, Bingwen Zhang, Lauren M. Huie, Lifeng Lai. (2016). ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS. IEEE SigPort. http://sigport.org/890
Jun Geng, Bingwen Zhang, Lauren M. Huie, Lifeng Lai, 2016. ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS. Available at: http://sigport.org/890.
Jun Geng, Bingwen Zhang, Lauren M. Huie, Lifeng Lai. (2016). "ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS." Web.
1. Jun Geng, Bingwen Zhang, Lauren M. Huie, Lifeng Lai. ONLINE CHANGE DETECTION OF LINEAR REGRESSION MODELS [Internet]. IEEE SigPort; 2016. Available from : http://sigport.org/890