Generalization of Change-Point Detection in Time Series Data Based on Direct Density Ratio Estimation

The goal of the change-point detection is to discover changes of time series distribution. One of the state of the art approaches of the change-point detection are based on direct density ratio estimation. In this work we show how existing algorithms can be generalized using various binary classification and regression models. In particular, we show that the Gradient Boosting over Decision Trees and Neural Networks can be used for this purpose. The algorithms are tested on several synthetic and real-world datasets. The results show that the proposed methods outperform classical RuLSIF algorithm. Discussion of cases where the proposed algorithms have advantages over existing methods are also provided

Poisson regression charts for the monitoring of surveillance time series

This paper presents a Poisson control chart for monitoring time series of counts typically arising in the surveillance of infectious diseases. The in-control mean is assumed to be time-varying and linear on the log-scale with intercept and seasonal components. If a shift in the intercept occurs the system goes out-of-control. Novel is that the magnitude of the shift does not have to be specified in advance: using the generalized likelihood ratio (GLR) statistic a monitoring scheme is formulated to detect on-line whether a shift in the intercept occurred. For this specific Poisson chart the necessary quantities of the GLR detector can be efficiently computed by recursive formulas. Extensions to more general Poisson charts e.g. containing an autoregressive epidemic component are discussed. Using Monte Carlo simulations run length properties of the proposed schemes are investigated. The practicability of the charts is demonstrated by applying them to the observed number of salmonella hadar cases in Germany 2001-2006

Change-Point Testing and Estimation for Risk Measures in Time Series

We investigate methods of change-point testing and confidence interval construction for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. A key aspect of our work is the ability to detect general multiple structural changes in the tails of time series marginal distributions. Unlike extant approaches for detecting tail structural changes using quantities such as tail index, our approach does not require parametric modeling of the tail and detects more general changes in the tail. Additionally, our methods are based on the recently introduced self-normalization technique for time series, allowing for statistical analysis without the issues of consistent standard error estimation. The theoretical foundation for our methods are functional central limit theorems, which we develop under weak assumptions. An empirical study of S&P 500 returns and US 30-Year Treasury bonds illustrates the practical use of our methods in detecting and quantifying market instability via the tails of financial time series during times of financial crisis

Speckle noise and dynamic range in coronagraphic images

This paper is concerned with the theoretical properties of high contrast coronagraphic images in the context of exoplanet searches. We derive and analyze the statistical properties of the residual starlight in coronagraphic images, and describe the effect of a coronagraph on the speckle and photon noise. Current observations with coronagraphic instruments have shown that the main limitations to high contrast imaging are due to residual quasi-static speckles. We tackle this problem in this paper, and propose a generalization of our statistical model to include the description of static, quasi-static and fast residual atmospheric speckles. The results provide insight into the effects on the dynamic range of wavefront control, coronagraphy, active speckle reduction, and differential speckle calibration. The study is focused on ground-based imaging with extreme adaptive optics, but the approach is general enough to be applicable to space, with different parameters.Comment: 31 pages, 18 figure

Detection of atrial fibrillation episodes in long-term heart rhythm signals using a support vector machine

Atrial fibrillation (AF) is a serious heart arrhythmia leading to a significant increase of the risk for occurrence of ischemic stroke. Clinically, the AF episode is recognized in an electrocardiogram. However, detection of asymptomatic AF, which requires a long-term monitoring, is more efficient when based on irregularity of beat-to-beat intervals estimated by the heart rate (HR) features. Automated classification of heartbeats into AF and non-AF by means of the Lagrangian Support Vector Machine has been proposed. The classifier input vector consisted of sixteen features, including four coefficients very sensitive to beat-to-beat heart changes, taken from the fetal heart rate analysis in perinatal medicine. Effectiveness of the proposed classifier has been verified on the MIT-BIH Atrial Fibrillation Database. Designing of the LSVM classifier using very large number of feature vectors requires extreme computational efforts. Therefore, an original approach has been proposed to determine a training set of the smallest possible size that still would guarantee a high quality of AF detection. It enables to obtain satisfactory results using only 1.39% of all heartbeats as the training data. Post-processing stage based on aggregation of classified heartbeats into AF episodes has been applied to provide more reliable information on patient risk. Results obtained during the testing phase showed the sensitivity of 98.94%, positive predictive value of 98.39%, and classification accuracy of 98.86%.Web of Science203art. no. 76

Signal Processing in Large Systems: a New Paradigm

For a long time, detection and parameter estimation methods for signal processing have relied on asymptotic statistics as the number $n$ of observations of a population grows large comparatively to the population size $N$, i.e. $n/N\to \infty$. Modern technological and societal advances now demand the study of sometimes extremely large populations and simultaneously require fast signal processing due to accelerated system dynamics. This results in not-so-large practical ratios $n/N$, sometimes even smaller than one. A disruptive change in classical signal processing methods has therefore been initiated in the past ten years, mostly spurred by the field of large dimensional random matrix theory. The early works in random matrix theory for signal processing applications are however scarce and highly technical. This tutorial provides an accessible methodological introduction to the modern tools of random matrix theory and to the signal processing methods derived from them, with an emphasis on simple illustrative examples

An Incremental Construction of Deep Neuro Fuzzy System for Continual Learning of Non-stationary Data Streams

Existing FNNs are mostly developed under a shallow network configuration having lower generalization power than those of deep structures. This paper proposes a novel self-organizing deep FNN, namely DEVFNN. Fuzzy rules can be automatically extracted from data streams or removed if they play limited role during their lifespan. The structure of the network can be deepened on demand by stacking additional layers using a drift detection method which not only detects the covariate drift, variations of input space, but also accurately identifies the real drift, dynamic changes of both feature space and target space. DEVFNN is developed under the stacked generalization principle via the feature augmentation concept where a recently developed algorithm, namely gClass, drives the hidden layer. It is equipped by an automatic feature selection method which controls activation and deactivation of input attributes to induce varying subsets of input features. A deep network simplification procedure is put forward using the concept of hidden layer merging to prevent uncontrollable growth of dimensionality of input space due to the nature of feature augmentation approach in building a deep network structure. DEVFNN works in the sample-wise fashion and is compatible for data stream applications. The efficacy of DEVFNN has been thoroughly evaluated using seven datasets with non-stationary properties under the prequential test-then-train protocol. It has been compared with four popular continual learning algorithms and its shallow counterpart where DEVFNN demonstrates improvement of classification accuracy. Moreover, it is also shown that the concept drift detection method is an effective tool to control the depth of network structure while the hidden layer merging scenario is capable of simplifying the network complexity of a deep network with negligible compromise of generalization performance.Comment: This paper has been published in IEEE Transactions on Fuzzy System