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Online multivariate changepoint detection with type I error control and constant time/memory updates per series

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  • Hahn, Georg

Abstract

This article presents a simple algorithm for online multivariate changepoint detection of a mean in rare changepoint settings. The algorithm is based on a modified cusum statistic and guarantees control of the type I error on any false discoveries, while featuring O(1) time and O(1) memory updates per series as well as a proven detection delay.

Suggested Citation

  • Hahn, Georg, 2022. "Online multivariate changepoint detection with type I error control and constant time/memory updates per series," Statistics & Probability Letters, Elsevier, vol. 181(C).
    • Handle: RePEc:eee:stapro:v:181:y:2022:i:c:s0167715221002200
    DOI: 10.1016/j.spl.2021.109258
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