Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring

DOI10.1214/21-AOAS1508zbMath1498.62170arXiv2010.06937OpenAlexW3092730326MaRDI QIDQ2154176

Paul Fearnhead, Martin Tveten, Idris A. Eckley

Publication date: 14 July 2022

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.06937

zbMATH Keywords

outliersanomalychange pointscross-correlationbinary quadratic programming

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

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