A Contrastive Approach to Online Change Point Detection

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Publication date: 21 June 2022

Abstract: We suggest a novel procedure for online change point detection. Our approach expands an idea of maximizing a discrepancy measure between points from pre-change and post-change distributions. This leads to a flexible procedure suitable for both parametric and nonparametric scenarios. We prove non-asymptotic bounds on the average running length of the procedure and its expected detection delay. The efficiency of the algorithm is illustrated with numerical experiments on synthetic and real-world data sets.

Has companion code repository: https://github.com/npuchkin/contrastive_change_point_detection

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