• Corpus ID: 236777056

Sequential Multivariate Change Detection with Calibrated and Memoryless False Detection Rates

@inproceedings{Cobb2022SequentialMC,
  title={Sequential Multivariate Change Detection with Calibrated and Memoryless False Detection Rates},
  author={Oliver Cobb and Arnaud Van Looveren and Janis Klaise},
  booktitle={AISTATS},
  year={2022}
}
Responding appropriately to the detections of a sequential change detector requires knowledge of the rate at which false posi-tives occur in the absence of change. Setting detection thresholds to achieve a desired false positive rate is challenging. Existing works resort to setting time-invariant thresholds that focus on the expected runtime of the detector in the absence of change, either bounding it loosely from below or targeting it directly but with asymptotic arguments that we show cause… 
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