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Practical Aspects of False Alarm Control for Change Point Detection: Beyond Average Run Length

Author

Listed:
  • J. Kuhn

    (University of Amsterdam
    The University of Queensland)

  • M. Mandjes

    (University of Amsterdam)

  • T. Taimre

    (The University of Queensland)

Abstract

A popular method for detecting changes in the probability distribution of a sequence of observations is CUSUM, which proceeds by sequentially evaluating a log-likelihood ratio test statistic and comparing it to a predefined threshold; a change point is detected as soon as the threshold is exceeded. It is desirable to choose the threshold such that the number of false alarms is kept to a specified level. Traditionally, the number of false alarms is measured by the average run length – the expected stopping time until the first false alarm. However, this is does not in general allow one to control the number of false alarms at every particular time instance. Thus, in this paper two stronger false alarm criteria are considered, for which approximation methods are investigated to facilitate the selection of a threshold.

Suggested Citation

  • J. Kuhn & M. Mandjes & T. Taimre, 2019. "Practical Aspects of False Alarm Control for Change Point Detection: Beyond Average Run Length," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 25-42, March.
    • Handle: RePEc:spr:metcap:v:21:y:2019:i:1:d:10.1007_s11009-018-9636-1
    DOI: 10.1007/s11009-018-9636-1
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    References listed on IDEAS

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    1. Amram, Fred, 1985. "Multivariate extreme value distributions for stationary Gaussian sequences," Journal of Multivariate Analysis, Elsevier, vol. 16(2), pages 237-240, April.
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