arXiv subjects

Liyan Xie

Publications and source records attributed to Liyan Xie.

49 records · Page 3Linked to original sources

arXiv2021

Robust Hypothesis Testing with Wasserstein Uncertainty Sets

We consider a data-driven robust hypothesis test where the optimal test will minimize the worst-case performance regarding distributions that are close to the empirical distributions with respect to the Wasserstein distance. This leads to a new non-parametric hypothesis testing framework based on distributionally robust optimization, which is more robust when there are limited samples for one or both hypotheses. Such a scenario often arises from applications such as health care, online change-point detection, and anomaly detection. We study the computational and statistical properties of the proposed test by presenting a tractable convex reformulation of the original infinite-dimensional variational problem exploiting Wasserstein's properties and characterizing the radii selection for the uncertainty sets. We also demonstrate the good performance of our method on synthetic and real data.

math.ST↗

arXiv2021

Sequential Subspace Change-Point Detection

We consider the online monitoring of multivariate streaming data for changes that are characterized by an unknown subspace structure manifested in the covariance matrix. In particular, we consider the covariance structure changes from an identity matrix to an unknown spiked covariance model. We assume the post-change distribution is unknown, and propose two detection procedures: the Largest-Eigenvalue Shewhart chart and the Subspace-CUSUM detection procedure. We present theoretical approximations to the average run length (ARL) and the expected detection delay (EDD) for the Largest-Eigenvalue Shewhart chart and also provide analysis for tuning parameters of the Subspace-CUSUM procedure. The performance of the proposed methods is illustrated using simulation and real data for human gesture detection and seismic event detection.

math.ST↗

arXiv2021

Sequential (Quickest) Change Detection: Classical Results and New Directions

Online detection of changes in stochastic systems, referred to as sequential change detection or quickest change detection, is an important research topic in statistics, signal processing, and information theory, and has a wide range of applications. This survey starts with the basics of sequential change detection, and then moves on to generalizations and extensions of sequential change detection theory and methods. We also discuss some new dimensions that emerge at the intersection of sequential change detection with other areas, along with a selection of modern applications and remarks on open questions.

math.ST↗

arXiv2021

Spatially-resolved insulator-metal transition for rewritable optical gratings

Doping is an effective way to tune the property of metal oxides1-5, for achieving functional oxide electronics6-8. Previously we developed a controllable hydrogen doping technology at ambient conditions by use of electron-proton synergistic doping strategy, which enables one to get rid of high-temperature/pressure treatments required by traditional technologies9. Here, based on this facile doping route, we achieve a visual and reversible insulator-metal transition (MIT) for tungsten trioxide (WO3) film. Its outstanding spatial selection is comparable to standard UV lithography, which shows the potential of becoming a viable way for rewritable WO3 grating device fabrication. Furthermore, the period of the obtained WO3 structural grating can also be easily changed for requirement by doping area selection. This advanced doping technology opens up alternative approaches for developing not only optical devices, but also rewritable ions devices and integrated circuits for various oxide electronics.

physics.app-ph↗

arXiv2021

Sequential Change Detection by Optimal Weighted $\ell_2$ Divergence

We present a new non-parametric statistic, called the weighed $\ell_2$ divergence, based on empirical distributions for sequential change detection. We start by constructing the weighed $\ell_2$ divergence as a fundamental building block for two-sample tests and change detection. The proposed statistic is proved to attain the optimal sample complexity in the offline setting. We then study the sequential change detection using the weighed $\ell_2$ divergence and characterize the fundamental performance metrics, including the average run length (ARL) and the expected detection delay (EDD). We also present practical algorithms to find the optimal projection to handle high-dimensional data and the optimal weights, which is critical to quick detection since, in such settings, there are not many post-change samples. Simulation results and real data examples are provided to validate the good performance of the proposed method.

math.ST↗

arXiv2021

Optimality of Graph Scanning Statistic for Online Community Detection

Sequential change-point detection for graphs is a fundamental problem for streaming network data types and has wide applications in social networks and power systems. Given fixed vertices and a sequence of random graphs, the objective is to detect the change-point where the underlying distribution of the random graph changes. In particular, we focus on the local change that only affects a subgraph. We adopt the classical Erdos-Renyi model and revisit the generalized likelihood ratio (GLR) detection procedure. The scan statistic is computed by sequentially estimating the most-likely subgraph where the change happens. We provide theoretical analysis for the asymptotic optimality of the proposed procedure based on the GLR framework. We demonstrate the efficiency of our detection algorithm using simulations.

math.ST↗

arXiv2020

Convex Parameter Recovery for Interacting Marked Processes

We introduce a new general modeling approach for multivariate discrete event data with categorical interacting marks, which we refer to as marked Bernoulli processes. In the proposed model, the probability of an event of a specific category to occur in a location may be influenced by past events at this and other locations. We do not restrict interactions to be positive or decaying over time as it is commonly adopted, allowing us to capture an arbitrary shape of influence from historical events, locations, and events of different categories. In our modeling, prior knowledge is incorporated by allowing general convex constraints on model parameters. We develop two parameter estimation procedures utilizing the constrained Least Squares (LS) and Maximum Likelihood (ML) estimation, which are solved using variational inequalities with monotone operators. We discuss different applications of our approach and illustrate the performance of proposed recovery routines on synthetic examples and a real-world police dataset.

math.ST↗

arXiv2020

Uncertainty Quantification for Inferring Hawkes Networks

Multivariate Hawkes processes are commonly used to model streaming networked event data in a wide variety of applications. However, it remains a challenge to extract reliable inference from complex datasets with uncertainty quantification. Aiming towards this, we develop a statistical inference framework to learn causal relationships between nodes from networked data, where the underlying directed graph implies Granger causality. We provide uncertainty quantification for the maximum likelihood estimate of the network multivariate Hawkes process by providing a non-asymptotic confidence set. The main technique is based on the concentration inequalities of continuous-time martingales. We compare our method to the previously-derived asymptotic Hawkes process confidence interval, and demonstrate the strengths of our method in an application to neuronal connectivity reconstruction.

stat.ML↗

arXiv2019

Asynchronous Multi-Sensor Change-Point Detection for Seismic Tremors

We consider the sequential change-point detection for asynchronous multi-sensors, where each sensor observe a signal (due to change-point) at different times. We propose an asynchronous Subspace-CUSUM procedure based on jointly estimating the unknown signal waveform and the unknown relative delays between the sensors. Using the estimated delays, we can align signals and use the subspace to combine the multiple sensor observations. We derive the optimal drift parameter for the proposed procedure, and characterize the relationship between the expected detection delay, average run length (of false alarms), and the energy of the time-varying signal. We demonstrate the good performance of the proposed procedure using simulation and real data. We also demonstrate that the proposed procedure outperforms the well-known `one-shot procedure' in detecting weak and asynchronous signals.

stat.AP↗

arXiv2018

First-order optimal sequential subspace change-point detection

We consider the sequential change-point detection problem of detecting changes that are characterized by a subspace structure. Such changes are frequent in high-dimensional streaming data altering the form of the corresponding covariance matrix. In this work we present a Subspace-CUSUM procedure and demonstrate its first-order asymptotic optimality properties for the case where the subspace structure is unknown and needs to be simultaneously estimated. To achieve this goal we develop a suitable analytical methodology that includes a proper parameter optimization for the proposed detection scheme. Numerical simulations corroborate our theoretical findings.

math.ST↗

arXiv2018

Robust Hypothesis Testing Using Wasserstein Uncertainty Sets

We develop a novel computationally efficient and general framework for robust hypothesis testing. The new framework features a new way to construct uncertainty sets under the null and the alternative distributions, which are sets centered around the empirical distribution defined via Wasserstein metric, thus our approach is data-driven and free of distributional assumptions. We develop a convex safe approximation of the minimax formulation and show that such approximation renders a nearly-optimal detector among the family of all possible tests. By exploiting the structure of the least favorable distribution, we also develop a tractable reformulation of such approximation, with complexity independent of the dimension of observation space and can be nearly sample-size-independent in general. Real-data example using human activity data demonstrated the excellent performance of the new robust detector.

stat.ML↗

arXiv2017

Nearly second-order asymptotic optimality of sequential change-point detection with one-sample updates

Sequential change-point detection when the distribution parameters are unknown is a fundamental problem in statistics and machine learning. When the post-change parameters are unknown, we consider a set of detection procedures based on sequential likelihood ratios with non-anticipating estimators constructed using online convex optimization algorithms such as online mirror descent, which provides a more versatile approach to tackle complex situations where recursive maximum likelihood estimators cannot be found. When the underlying distributions belong to a exponential family and the estimators satisfy the logarithm regret property, we show that this approach is nearly second-order asymptotically optimal. This means that the upper bound for the false alarm rate of the algorithm (measured by the average-run-length) meets the lower bound asymptotically up to a log-log factor when the threshold tends to infinity. Our proof is achieved by making a connection between sequential change-point and online convex optimization and leveraging the logarithmic regret bound property of online mirror descent algorithm. Numerical and real data examples validate our theory.

math.ST↗

arXiv2017

Sequential detection of low-rank changes using extreme eigenvalues

We study the problem of detecting an abrupt change to the signal covariance matrix. In particular, the covariance changes from a "white" identity matrix to an unknown spiked or low-rank matrix. Two sequential change-point detection procedures are presented, based on the largest and the smallest eigenvalues of the sample covariance matrix. To control false-alarm-rate, we present an accurate theoretical approximation to the average-run-length (ARL) and expected detection delay (EDD) of the detection, leveraging the extreme eigenvalue distributions from random matrix theory and by capturing a non-negligible temporal correlation in the sequence of scan statistics due to the sliding window approach. Real data examples demonstrate the good performance of our method for detecting behavior change of a swarm.

math.ST↗