TR2009-057

Fast Adaptive Algorithms for Abrupt Change Detection



TR Image
An instance of a sliding window and its probable sub-windows

We propose two fast algorithms for abrupt change detection in streaming data that can operate on arbitrary unknown data distributions before and after the change. The first algorithm, MB-GT, computes efficiently the average Euclidean distance between all pairs of data points before and after the hypothesized change. The second algorithm, MB-CUSUM, computes the log-likelihood ratio statistic for the data distributions before and after the change, similarly to the classical CUSUM algorithm, but unlike that algorithm, MB-CUSUM does not need to know the exact distributions, and uses kernel density estimates instead. Although a straightforward computation of the two change statistics would have computational complexity of O(N4) with respect to the size N of the streaming data buffer, the proposed algorithms are able to use the computational structure of these statistics to achieve a computational complexity of only O(N2) and memory requirement of O(N). Furthermore, the algorithms perform surprisingly well on dependent observations generated by underlying dynamical systems, unlike traditional change detection algorithms.