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

DOI10.1016/j.spl.2021.109258zbMath1478.62255OpenAlexW3202752083MaRDI QIDQ2070620

Georg Hahn

Publication date: 24 January 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109258

zbMATH Keywords

multiple testingconstant time updatemultivariate changepoint detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Sequential statistical analysis (62L10) Paired and multiple comparisons; multiple testing (62J15)

Uses Software

• Surveillance
• MMCTest
• InspectChangepoint
• BayesProject
• fastOnlineCpt
• ocd

Cites Work

• Unnamed Item
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• Online rules for control of false discovery rate and false discovery exceedance
• BayesProject: fast computation of a projection direction for multivariate changepoint detection
• High-dimensional change-point estimation: combining filtering with convex optimization
• Extensions of some classical methods in change point analysis
• Detecting simultaneous changepoints in multiple sequences
• MMCTest-A Safe Algorithm for Implementing Multiple Monte Carlo Tests
• α-Investing: a Procedure for Sequential Control of Expected False Discoveries
• High Dimensional Change Point Estimation via Sparse Projection
• A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
• Generalized α-investing: Definitions, Optimality Results and Application to Public Databases
• CONTINUOUS INSPECTION SCHEMES

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