论文标题
在线变更点检测的对比方法
A Contrastive Approach to Online Change Point Detection
论文作者
论文摘要
我们建议在线变更点检测的新过程。我们的方法扩展了一个想法，即在变更前和变换后分布之间最大化差异度量。这将导致一个适合参数和非参数方案的灵活过程。我们证明了程序的平均运行长度及其预期的检测延迟，因此证明了非反应界限。通过关于合成和现实世界数据集的数值实验来说明算法的效率。
We suggest a novel procedure for online change point detection. Our approach expands an idea of maximizing a discrepancy measure between points from pre-change and post-change distributions. This leads to a flexible procedure suitable for both parametric and nonparametric scenarios. We prove non-asymptotic bounds on the average running length of the procedure and its expected detection delay. The efficiency of the algorithm is illustrated with numerical experiments on synthetic and real-world data sets.
