Scan B-statistic for kernel change-point detection

• Published in: Sequential analysis Vol. 38; no. 4; pp. 503 - 544
• Main Authors: Li, Shuang, Xie, Yao, Dai, Hanjun, Song, Le
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 02.10.2019; Taylor & Francis Ltd
• Subjects: Change detection; Change-point detection; Computer simulation; Control charts; False alarms; false-alarm control; kernel-based statistics; Kernels; Machine learning; Nonparametric statistics; online algorithm; Primary 62L10; Secondary 62G10; Statistical analysis; Statistics

Detecting the emergence of an abrupt change-point is a classic problem in statistics and machine learning. Kernel-based nonparametric statistics have been used for this task, which enjoys fewer assumptions on the distributions than the parametric approach and can handle high-dimensional data. In thi...