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arXiv · 2206.11727

Sequential Detection of Common Change in High-dimensional Data Stream

Yanhong Wu·Wei Biao Wu
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Abstract

After obtaining an accurate approximation for $ARL_0$, we first consider the optimal design of weight parameter for a multivariate EWMA chart that minimizes the stationary average delay detection time (SADDT). Comparisons with moving average (MA), CUSUM, generalized likelihood ratio test (GLRT), and Shiryayev-Roberts (S-R) charts after obtaining their $ARL_0$ and SADDT's are conducted numerically. To detect the change with sparse signals, hard-threshold and soft-threshold EWMA charts are proposed. Comparisons with other charts including adaptive techniques show that the EWMA procedure should be recommended for its robust performance and easy design.

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Yanhong Wu, Wei Biao Wu. 2022-06-23. Sequential Detection of Common Change in High-dimensional Data Stream. https://arxiv.org/abs/2206.11727

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