Optimal sequential detection by sparsity likelihood

Jingyan Huang and Hock Peng Chan

Computational Statistics & Data Analysis, 2025, vol. 203, issue C

Abstract: We propose here a sparsity likelihood stopping rule to detect change-points when there are multiple data streams. It is optimal in the sense of minimizing, asymptotically, the detection delay when the change-points is present in only a small fraction of the data streams. This optimality holds at all levels of change-point sparsity. A key contribution of this paper is that we show optimality when there is extreme sparsity. Extreme sparsity refers to the number of data streams with change-points increasing very slowly as the number of data streams goes to infinity. The theoretical results are backed by a numerical study that shows the sparsity likelihood stopping rule performing well at all levels of sparsity. Applications of the stopping rule on non-normal models are also illustrated here.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:203:y:2025:i:c:s0167947324001737

DOI: 10.1016/j.csda.2024.108089

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