Estimation of common change point and isolation of changed panels after sequential detection

TL;DR

This paper presents a method for quickly detecting common changes in multi-stream data, isolating changed panels with FDR control, and accurately estimating the change point using CUSUM and BH procedures.

Contribution

It introduces a novel approach combining CUSUM, SR, and BH methods for change detection, isolation, and estimation in multi-panel data streams.

Findings

Effective control of FDR and FNR demonstrated in simulations

Accurate estimation of change point after isolating changed panels

Method applicable to real-time sequential monitoring scenarios

Abstract

Quick detection of common changes is critical in sequential monitoring of multi-stream data where a common change is referred as a change that only occurs in a portion of panels. After a common change is detected by using a combined CUSUM-SR procedure, we first study the joint distribution for values of the CUSUM process and the estimated delay detection time for the unchanged panels. The BH method by using the asymptotic exponential property for the CUSUM process is developed to isolate the changed panels with the control on FDR. The common change point is then estimated based on the isolated changed panels. Simulation results show that the proposed method can also control the FNR by properly selecting FDR.