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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2312.09197 |
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| _version_ | 1866929338777075712 |
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| author | Chen, Hao Gupta, Abhishek Sun, Yin Shroff, Ness |
| author_facet | Chen, Hao Gupta, Abhishek Sun, Yin Shroff, Ness |
| contents | This paper considers the change point detection problem under dependent samples. In particular, we provide performance guarantees for the MMD-CUSUM test under exponentially $α$, $β$, and fast $ϕ$-mixing processes, which significantly expands its utility beyond the i.i.d. and Markovian cases used in previous studies. We obtain lower bounds for average-run-length (ARL) and upper bounds for average-detection-delay (ADD) in terms of the threshold parameter. We show that the MMD-CUSUM test enjoys the same level of performance as the i.i.d. case under fast $ϕ$-mixing processes. The MMD-CUSUM test also achieves strong performance under exponentially $α$/$β$-mixing processes, which are significantly more relaxed than existing results. The MMD-CUSUM test statistic adapts to different settings without modifications, rendering it a completely data-driven, dependence-agnostic change point detection scheme. Numerical simulations are provided at the end to evaluate our findings. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_09197 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Model-Free Change Point Detection for Mixing Processes Chen, Hao Gupta, Abhishek Sun, Yin Shroff, Ness Systems and Control This paper considers the change point detection problem under dependent samples. In particular, we provide performance guarantees for the MMD-CUSUM test under exponentially $α$, $β$, and fast $ϕ$-mixing processes, which significantly expands its utility beyond the i.i.d. and Markovian cases used in previous studies. We obtain lower bounds for average-run-length (ARL) and upper bounds for average-detection-delay (ADD) in terms of the threshold parameter. We show that the MMD-CUSUM test enjoys the same level of performance as the i.i.d. case under fast $ϕ$-mixing processes. The MMD-CUSUM test also achieves strong performance under exponentially $α$/$β$-mixing processes, which are significantly more relaxed than existing results. The MMD-CUSUM test statistic adapts to different settings without modifications, rendering it a completely data-driven, dependence-agnostic change point detection scheme. Numerical simulations are provided at the end to evaluate our findings. |
| title | Model-Free Change Point Detection for Mixing Processes |
| topic | Systems and Control |
| url | https://arxiv.org/abs/2312.09197 |