Sequential subspace change point detection

• Published in: Sequential analysis Vol. 39; no. 3; pp. 307 - 335
• Main Authors: Xie, Liyan, Xie, Yao, Moustakides, George V.
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 02.07.2020; Taylor & Francis Ltd
• Subjects: Change point detection; Control charts; Covariance matrix; Eigenvalues; false alarm control; low rank; Multivariate analysis; online algorithm; Primary 62L10; Secondary 62G10; Seismic activity; spiked covariance model; Subspaces

We consider the online monitoring of multivariate streaming data for changes that are characterized by an unknown subspace structure manifested in the covariance matrix. In particular, we consider the covariance structure changes from an identity matrix to an unknown spiked covariance model. We assu...