Restarted Bayesian Online Change-point ...
Document type :
Communication dans un congrès avec actes
Title :
Restarted Bayesian Online Change-point Detector achieves Optimal Detection Delay
Author(s) :
Alami, Réda [Auteur]
Orange Labs [Lannion]
Maillard, Odalric Ambrym [Auteur]
Scool [Scool]
Féraud, Raphael [Auteur]
Orange Labs [Lannion]
Orange Labs [Lannion]
Maillard, Odalric Ambrym [Auteur]

Scool [Scool]
Féraud, Raphael [Auteur]
Orange Labs [Lannion]
Conference title :
International Conference on Machine Learning
City :
Wien
Country :
Autriche
Start date of the conference :
2020-07
Publication date :
2020-07
HAL domain(s) :
Statistiques [stat]/Machine Learning [stat.ML]
Mathématiques [math]/Statistiques [math.ST]
Mathématiques [math]/Statistiques [math.ST]
English abstract : [en]
In this paper, we consider the problem of sequential change-point detection where both the changepoints and the distributions before and after the change are assumed to be unknown. For this problem of primary importance ...
Show more >In this paper, we consider the problem of sequential change-point detection where both the changepoints and the distributions before and after the change are assumed to be unknown. For this problem of primary importance in statistical and sequential learning theory, we derive a variant of the Bayesian Online Change Point Detector proposed by (Fearnhead & Liu, 2007) which is easier to analyze than the original version while keeping its powerful message-passing algorithm. We provide a non-asymptotic analysis of the false-alarm rate and the detection delay that matches the existing lower-bound. We further provide the first explicit high-probability control of the detection delay for such approach. Experiments on synthetic and realworld data show that this proposal outperforms the state-of-art change-point detection strategy, namely the Improved Generalized Likelihood Ratio (Improved GLR) while compares favorably with the original Bayesian Online Change Point Detection strategy.Show less >
Show more >In this paper, we consider the problem of sequential change-point detection where both the changepoints and the distributions before and after the change are assumed to be unknown. For this problem of primary importance in statistical and sequential learning theory, we derive a variant of the Bayesian Online Change Point Detector proposed by (Fearnhead & Liu, 2007) which is easier to analyze than the original version while keeping its powerful message-passing algorithm. We provide a non-asymptotic analysis of the false-alarm rate and the detection delay that matches the existing lower-bound. We further provide the first explicit high-probability control of the detection delay for such approach. Experiments on synthetic and realworld data show that this proposal outperforms the state-of-art change-point detection strategy, namely the Improved Generalized Likelihood Ratio (Improved GLR) while compares favorably with the original Bayesian Online Change Point Detection strategy.Show less >
Language :
Anglais
Peer reviewed article :
Oui
Audience :
Internationale
Popular science :
Non
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