Corpus ID: 236429050

Max-Type and Sum-Type Procedures for Online Change-Point Detection in the Mean of High-Dimensional Data

  title={Max-Type and Sum-Type Procedures for Online Change-Point Detection in the Mean of High-Dimensional Data},
  author={Jun Li},
  • Jun Li
  • Published 2021
  • Mathematics
We propose two procedures to detect a change in the mean of high-dimensional online data. One is based on a max-type U-statistic and another is based on a sum-type U-statistic. Theoretical properties of the two procedures are explored in the high dimensional setting. More precisely, we derive their average run lengths (ARLs) when there is no change point, and expected detection delays (EDDs) when there is a change point. Accuracy of the theoretical results is confirmed by simulation studies… Expand

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