Estimation of common change point and isolation of changed panels after sequential detection. Issue 1 (2nd January 2020)

• Record Type: Journal Article
• Authors: Wu, Yanhong
• Is Part Of: Sequential analysis. Volume 39:Issue 1(2020)
• Page Start: 52
• Page End: 64
• Publication Date: 2020-01-02
• Subjects: Common change -- CUSUM and SR procedure -- FDR and FNR -- isolation of changed panel; 62L10 -- 62L15; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2020.1726685
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: Quick detection of common changes is critical in sequential monitoring of multistream data where a common change is a change that only occurs in a portion of panels. After a common change is detected by using a combined cumulative sum Shiryaev-Roberts (CUSUM-SR) procedure, we first study the joint distribution for values of the CUSUM process and the estimated delay detection time for the unchanged panels. A Benjamini-Hochberg (BH) method using the asymptotic exponential property for the CUSUM process is developed to isolate the changed panels with control on the false discovery rate (FDR). The common change point is then estimated based on the isolated changed panels. Simulation results show that the proposed method can also control the false non-discovery rate (FNR) by properly selecting the FDR.