56,918 research outputs found
Sequential Change-point Detection for High-dimensional and non-Euclidean Data
In many modern applications, high-dimensional/non-Euclidean data sequences
are collected to study complicated phenomena over time and it is of scientific
importance to detect anomaly events as the data are being collected. We studied
a nonparametric framework that utilizes nearest neighbor information among the
observations and can be applied to such sequences. We considered new test
statistics under this framework that can make more positive detections and can
detect anomaly events sooner than the existing test under many common scenarios
with the false discovery rate controlled at the same level. Analytic formulas
for approximate the average run lengths of the new approaches are derived to
make them fast applicable to large datasets
- …