First-order optimal sequential subspace change-point detection

Liyan Xie; George V. Moustakides; Yao Xie

doi:10.1109/GlobalSIP.2018.8646377

First-order optimal sequential subspace change-point detection

Liyan Xie, George V. Moustakides, Yao Xie

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

5 Scopus citations

Abstract

We consider the sequential change-point detection problem of detecting changes that are characterized by a subspace structure. Such changes are frequent in high-dimensional streaming data altering the form of the corresponding covariance matrix. In this work we present a Subspace-CUSUM procedure and demonstrate its first-order asymptotic optimality properties for the case where the subspace structure is unknown and needs to be simultaneously estimated. To achieve this goal we develop a suitable analytical methodology that includes a proper parameter optimization for the proposed detection scheme. Numerical simulations corroborate our theoretical findings.

Original language	English (US)
Title of host publication	2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	111-115
Number of pages	5
ISBN (Electronic)	9781728112954
DOIs	https://doi.org/10.1109/GlobalSIP.2018.8646377
State	Published - Jul 2 2018
Externally published	Yes
Event	2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Anaheim, United States Duration: Nov 26 2018 → Nov 29 2018

Publication series

Name	2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings

Conference

Conference	2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018
Country/Territory	United States
City	Anaheim
Period	11/26/18 → 11/29/18

Bibliographical note

Publisher Copyright:
© 2018 IEEE.

Publisher link

10.1109/GlobalSIP.2018.8646377

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Xie, L., Moustakides, G. V., & Xie, Y. (2018). First-order optimal sequential subspace change-point detection. In 2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings (pp. 111-115). Article 8646377 (2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/GlobalSIP.2018.8646377

First-order optimal sequential subspace change-point detection. / Xie, Liyan; Moustakides, George V.; Xie, Yao.
2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2018. p. 111-115 8646377 (2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Xie, L, Moustakides, GV & Xie, Y 2018, First-order optimal sequential subspace change-point detection. in 2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings., 8646377, 2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings, Institute of Electrical and Electronics Engineers Inc., pp. 111-115, 2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018, Anaheim, United States, 11/26/18. https://doi.org/10.1109/GlobalSIP.2018.8646377

Xie L, Moustakides GV, Xie Y. First-order optimal sequential subspace change-point detection. In 2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings. Institute of Electrical and Electronics Engineers Inc. 2018. p. 111-115. 8646377. (2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings). doi: 10.1109/GlobalSIP.2018.8646377

Xie, Liyan ; Moustakides, George V. ; Xie, Yao. / First-order optimal sequential subspace change-point detection. 2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2018. pp. 111-115 (2018 IEEE Global Conference on Signal and Information Processing, GlobalSIP 2018 - Proceedings).

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First-order optimal sequential subspace change-point detection

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