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First-order optimal sequential subspace change-point detection
Liyan Xie, George V. Moustakides, Yao Xie · 2018-06-28 · via math.ST updates on arXiv.org

We consider the sequential change-point detection problem of detecting changes that are characterized by a subspace structure. Such changes are frequent in high-dimensional streaming data altering the form of the corresponding covariance matrix. In this work we present a Subspace-CUSUM procedure and demonstrate its first-order asymptotic optimality properties for the case where the subspace structure is unknown and needs to be simultaneously estimated. To achieve this goal we develop a suitable analytical methodology that includes a proper parameter optimization for the proposed detection scheme. Numerical simulations corroborate our theoretical findings.

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