Sequential change-point detection based on nearest neighbors

Friday, February 23, 2018 - 9:50am - 10:30am
Lind 305
Hao Chen (University of California, Davis)
As we observe the dynamics of social networks over time, how can we tell if a significant change happens? We propose a new framework for the detection of change-points as data are generated. The approach utilizes nearest neighbor information and can be applied to ongoing sequences of multivariate data or object data. Different stopping times are compared and one relies on recent observations is recommended. An accurate analytic approximation is obtained for the average run length when there is no change, facilitating its application to real problems.