论文标题
在高维数据流中瞬态信号的顺序检测
Sequential Detection of Transient Signals in High Dimensional Data Stream
论文作者
论文摘要
通过在高维数据流中的瞬态信号进行顺序检测中，我们研究了EWMA，MA，CUSUM和GLRT图表的性能，用于根据false检测概率（FDP（FDP）的约束）在多变量数据流中检测瞬态信号。给出了FDP和POD的近似值。比较表明，当信号强度未知时，EWMA图表的性能与GLRT图的性能同样出色，而其设计则没有信号长度且易于更新。此外，当信号仅出现在一小部分频道中时，具有硬阈值的MeWMA图表性能更好。道琼斯琼斯30工业股票价格用于插图。
Motivated by sequential detection of transient signals in high dimensional data stream, we study the performance of EWMA, MA, CUSUM, and GLRT charts for detecting a transient signal in multivariate data streams in terms of the power of detection (POD) under the constraint of false detecting probability (FDP) at the stationary state. Approximations are given for FDP and POD. Comparisons show that the EWMA chart performs equally well as the GLRT chart when the signal strength is unknown, while its design is free of signal length and easy to update. In addition, the MEWMA chart with hard-threshold performs better when the signal only appears in a small portion of the channels. Dow Jones 30 industrial stock prices are used for illustration.
