Optimal Sub-sampling to Boost Power of Kernel Sequential Change-point Detection

10/26/2022

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by   Song Wei, et al.

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We present a novel scheme to boost detection power for kernel maximum mean discrepancy based sequential change-point detection procedures. Our proposed scheme features an optimal sub-sampling of the history data before the detection procedure, in order to tackle the power loss incurred by the random sub-sample from the enormous history data. We apply our proposed scheme to both Scan B and Kernel Cumulative Sum (CUSUM) procedures, and improved performance is observed from extensive numerical experiments.