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26 April 2024
 
  » arxiv » 2206.11727

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Sequential Detection of Common Change in High-dimensional Data Stream
Yanhong Wu ; Wei Biao Wu ;
Date 23 Jun 2022
AbstractAfter obtaining an accurate approximation for $ARL_0$, we first consider the optimal design of weight parameter for a multivariate EWMA chart that minimizes the stationary average delay detection time (SADDT). Comparisons with moving average (MA), CUSUM, generalized likelihood ratio test (GLRT), and Shiryayev-Roberts (S-R) charts after obtaining their $ARL_0$ and SADDT’s are conducted numerically. To detect the change with sparse signals, hard-threshold and soft-threshold EWMA charts are proposed. Comparisons with other charts including adaptive techniques show that the EWMA procedure should be recommended for its robust performance and easy design.
Source arXiv, 2206.11727
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