Abstract:We study change-point detection for high-dimensional data in regimes where inference must be performed from small batches of observations. Our primary focus is the high-dimensional, low sample size (HDLSS) regime, where the sequence length is fixed while the ambient dimension diverges. We propose a dimension-averaged angular kernel scan framework for detecting marginal distributional shifts. The statistic aggregates bounded one-dimensional angular discrepancies across coordinates, yielding a fully nonparametric, hyperparameter-free, and moment-agnostic estimator that remains well-defined without specifying, estimating, or assuming finite marginal moments, for example under heavy-tailed or contaminated distributions. For the offline single-change problem, we derive an exact population mean factorization into a universal deterministic shape function and a scalar signal factor, characterize the null covariance structure up to a scalar long-run variance factor, and establish an HDLSS multivariate central limit theorem under cross-coordinate mixing. These results lead to plug-in Gaussian calibration, asymptotic type-I error control, and power and localization guarantees, including a $d^{-1/2}$ local detection scale. We further extend the offline procedure to a fixed-window sequential monitoring procedure for high-dimensional streaming data, and obtain ARL calibration and worst-case EDD bounds. Simulation studies demonstrate that the proposed method can accurately detect and localize changes in challenging HDLSS and streaming settings where moment-based or hyperparameter-sensitive procedures may be unreliable.
| Subjects: | Methodology (stat.ME); Statistics Theory (math.ST); Machine Learning (stat.ML) |
| MSC classes: | 62G10 (Primary), 62H15, 62L10, 62G20 (Secondary) |
| Cite as: | arXiv:2605.25855 [stat.ME] |
| (or arXiv:2605.25855v1 [stat.ME] for this version) | |
| https://doi.org/10.48550/arXiv.2605.25855 arXiv-issued DOI via DataCite (pending registration) |
From: Jyotishka Ray Choudhury [view email]
[v1]
Mon, 25 May 2026 13:45:38 UTC (588 KB)
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