Optimal parallel sequential change detection under generalized performance measures

Lu, Zexian, Chen, Yunxiao ORCID: 0000-0002-7215-2324 and Li, Xiaoou (2022) Optimal parallel sequential change detection under generalized performance measures. IEEE Transactions on Signal Processing, 70. 5967 - 5981. ISSN 1053-587X

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Abstract

This paper considers the detection of change points in parallel data streams, a problem widely encountered when analyzing large-scale real-time streaming data. Each stream may have its own change point, at which its data has a distributional change. With sequentially observed data, a decision maker needs to declare whether changes have already occurred to the streams at each time point. Once a stream is declared to have changed, it is deactivated permanently so that its future data will no longer be collected. This is a compound decision problem in the sense that the decision maker may want to optimize certain compound performance metrics that concern all the streams as a whole. Thus, the decisions are not independent for different streams. Our contribution is three-fold. First, we propose a general framework for compound performance metrics that includes the ones considered in the existing works as special cases and introduces new ones that connect closely with the performance metrics for single-stream sequential change detection and large-scale hypothesis testing. Second, data-driven decision procedures are developed under this framework. Finally, optimality results are established for the proposed decision procedures. The proposed methods and theory are evaluated by simulation studies and a case study.

Item Type:	Article
Official URL:	https://ieeexplore.ieee.org/xpl/RecentIssue.jsp?pu...
Additional Information:	© 2023 Institute of Electrical and Electronics Engineers.
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics
Date Deposited:	06 Mar 2023 14:57
Last Modified:	25 Apr 2024 18:06
URI:	http://eprints.lse.ac.uk/id/eprint/118348

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