Compound sequential change-point detection in parallel data streams

Yunxiao Chen and Xiaoou Li

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We consider sequential change-point detection in parallel data streams, where each stream has its own change point. Once a change is detected in a data stream, this stream is deactivated permanently. The goal is to maximize the normal operation of the pre-change streams, while controlling the proportion of post-change streams among the active streams at all time points. Taking a Bayesian formulation, we develop a compound decision framework for this problem. A procedure is proposed that is uniformly optimal among all sequential procedures which control the expected proportion of post-change streams at all time points. We also investigate the asymptotic behavior of the proposed method when the number of data streams grows large. Numerical examples are provided to illustrate the use and performance of the proposed method.

Keywords: sequential analysis; change-point detection; compound decision; false non-discovery rate; large-scale inference (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2023-01-01
New Economics Papers: this item is included in nep-isf and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Statistica Sinica, 1, January, 2023, 33(1), pp. 453 - 474. ISSN: 1017-0405

Downloads: (external link)
http://eprints.lse.ac.uk/111010/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:111010

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().