Online non-parametric changepoint detection with application to monitoring operational performance of network devices

Austin, Edward and Romano, Gaetano and Eckley, Idris and Fearnhead, Paul (2023) Online non-parametric changepoint detection with application to monitoring operational performance of network devices. Computational Statistics and Data Analysis, 177. ISSN 0167-9473

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Abstract

Motivated by a telecommunications application where there are few computational constraints, a novel nonparametric algorithm, NUNC, is introduced to perform an online detection for changes in the distribution of data. Two variants are considered: the first, NUNC Local, detects changes within a sliding window. Conversely, NUNC Global, compares the current window of data to all of the historic information seen so far and makes use of an efficient update step so that this historic information does not need to be stored. To explore the properties of both algorithms, both real and simulated datasets are analysed. Furthermore, a theoretical result for the choice of test threshold to control the false alarm rate is presented, a result that could be applied in other binary segmentation change detection settings.

Item Type:
Journal Article
Journal or Publication Title:
Computational Statistics and Data Analysis
Additional Information:
This is the author’s version of a work that was accepted for publication in Computational Statistics & Data Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Computational Statistics & Data Analysis, 177, 2022 DOI: 10.1016/j.csda.2022.107551
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2613
Subjects:
ID Code:
174160
Deposited By:
Deposited On:
09 Aug 2022 10:05
Refereed?:
Yes
Published?:
Published
Last Modified:
09 Aug 2022 10:05