Count-based change point detection via multi-output log-Gaussian Cox processes

Joonho Bae and Jinkyoo Park

IISE Transactions, 2020, vol. 52, issue 9, 998-1013

Abstract: The ability to detect change points is a core skill in system monitoring and prognostics. When data take the form of frequencies, i.e., count data, counting processes such as Poisson processes are extensively used for modeling. However, many existing count-based approaches rely on parametric models or deterministic frameworks, failing to consider complex system uncertainty based on temporal and environmental contexts. Another challenge is analyzing interrelated events simultaneously to detect change points that can be missed by independent analyses. This article presents a Multi-Output Log-Gaussian Cox Process with a Cross-Spectral Mixture kernel (MOLGCP-CSM) as a count-based change point detection algorithm. The proposed model employs MOLGCP to flexibly model time-varying intensities of events over multiple channels with the CSM kernel that can capture either negative or positive correlations, as well as phase differences between stochastic processes. During the monitoring, the proposed approach measures the level of change in real-time by computing a weighted likelihood of observation with respect to the constructed model and determines whether a target system experiences a change point by conducting a statistical test based on extreme value theory. Our method is validated using three types of datasets: synthetic, accelerometer vibration, and gas regulator data.

Date: 2020
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DOI: 10.1080/24725854.2019.1676937

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