On parallel sequential change detection controlling false discovery rate

Jie Chen, Wenyi Zhang, H. Vincent Poor

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Scopus citations

Abstract

In some recent applications involving large-scale data analytics, a plurality of data streams are sequentially observed in parallel, and the statistical decision maker is asked to screen out among these data streams those that exhibit certain characteristics. Motivated by such setting, in this work, a parallel sequential change detection model is investigated. In the model, a plurality of independent parallel data streams, each of which has a change-point with a certain prior probability distribution, are sequentially observed with a maximum sampling constraint. A sequential procedure is developed to inspect these parallel data streams and to decide, for each of them, whether a change has occurred. The sequential procedure is shown to guarantee the false discovery rate (FDR). The average detection delay over the parallel data streams is also quantified in asymptotic regimes. Numerical experiments are conducted to illustrate the proposed sequential procedure.

Original languageEnglish (US)
Title of host publicationConference Record of the 50th Asilomar Conference on Signals, Systems and Computers, ACSSC 2016
EditorsMichael B. Matthews
PublisherIEEE Computer Society
Pages107-111
Number of pages5
ISBN (Electronic)9781538639542
DOIs
StatePublished - Mar 1 2017
Event50th Asilomar Conference on Signals, Systems and Computers, ACSSC 2016 - Pacific Grove, United States
Duration: Nov 6 2016Nov 9 2016

Publication series

NameConference Record - Asilomar Conference on Signals, Systems and Computers
ISSN (Print)1058-6393

Other

Other50th Asilomar Conference on Signals, Systems and Computers, ACSSC 2016
CountryUnited States
CityPacific Grove
Period11/6/1611/9/16

All Science Journal Classification (ASJC) codes

  • Signal Processing
  • Computer Networks and Communications

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  • Cite this

    Chen, J., Zhang, W., & Poor, H. V. (2017). On parallel sequential change detection controlling false discovery rate. In M. B. Matthews (Ed.), Conference Record of the 50th Asilomar Conference on Signals, Systems and Computers, ACSSC 2016 (pp. 107-111). [7869004] (Conference Record - Asilomar Conference on Signals, Systems and Computers). IEEE Computer Society. https://doi.org/10.1109/ACSSC.2016.7869004