On Matched Filtering for Statistical Change Point Detection

IEEE Open Journal of Signal Processing

Michael C. Hughes¹  Shuchin Aeron²  Kevin C. Cheng²  Eric L. Miller² 

[1] Department of Computer Science, Tufts University, Medford, MA, USA;Department of Electrical and Computer Engineering, Tufts University, Medford, MA, USA;

关键词: Change point detection;    matched filter;    Wasserstein distance;    Kolmogorov-Smirnov;    maximum mean discrepancy quantile-quantile tests;    human activity data;   

DOI  :  10.1109/OJSP.2020.3035070

来源: DOAJ

【 摘 要 】

Non-parametric and distribution-free two-sample tests have been the foundation of many change point detection algorithms. However, randomness in the test statistic as a function of time makes them susceptible to false positives and localization ambiguity. We address these issues by deriving and applying filters matched to the expected temporal signatures of a change for various sliding window, two-sample tests under IID assumptions on the data. These filters are derived asymptotically with respect to the window size for the Wasserstein quantile test, the Wasserstein-1 distance test, Maximum Mean Discrepancy squared (MMD²), and the Kolmogorov-Smirnov (KS) test. The matched filters are shown to have two important properties. First, they are distribution-free, and thus can be applied without prior knowledge of the underlying data distributions. Second, they are peak-preserving, which allows the filtered signal produced by our methods to maintain expected statistical significance. Through experiments on synthetic data as well as activity recognition benchmarks, we demonstrate the utility of this approach for mitigating false positives and improving the test precision. Our method allows for the localization of change points without the use of ad-hoc post-processing to remove redundant detections common to current methods. We further highlight the performance of statistical tests based on the Quantile-Quantile (Q-Q) function and show how the invariance property of the Q-Q function to order-preserving transformations allows these tests to detect change points of different scales with a single threshold within the same dataset.

【 授权许可】

Unknown