Sequential change detection is a classical problem with a variety of applications. However, the majority of prior work has been parametric, for example, focusing on exponential families. We develop a fundamentally new and general framework for sequential change detection when the pre- and post-change distributions are nonparametrically specified (and thus composite). Our procedures come with clean, nonasymptotic bounds on the average run length (frequency of false alarms). In certain nonparametric cases (like sub-Gaussian or sub-exponential), we also provide near-optimal bounds on the detection delay following a changepoint. The primary technical tool that we introduce is called an \emph{e-detector}, which is composed of sums of e-processes -- a fundamental generalization of nonnegative supermartingales -- that are started at consecutive times. We first introduce simple Shiryaev-Roberts and CUSUM-style e-detectors, and then show how to design their mixtures in order to achieve both statistical and computational efficiency. Our e-detector framework can be instantiated to recover classical likelihood-based procedures for parametric problems, as well as yielding the first change detection method for many nonparametric problems. As a running example, we tackle the problem of detecting changes in the mean of a bounded random variable without i.i.d. assumptions, with an application to tracking the performance of a basketball team over multiple seasons.
翻译:顺序变化检测是一个具有广泛应用的经典问题。然而,先前的大部分工作都是基于参数的,例如,专注于指数家族。我们开发了一个全新的、基于非参数预设的、并能处理复合分布顺序变化检测的通用框架。我们的程序具有干净的、非渐进性的平均运行长度(错误报警频率)的界限。在某些非参数情况下(例如次高斯或次指数分布),我们还提供了接近最优的界限,用于在变化点后检测延迟。我们引入的主要技术工具称为“E-探测器”,它由连续时间开始的E-过程之和组成——一种非负超过鞅的基本概括。我们首先介绍简单的Shiryaev-Roberts和CUSUM样式的E-探测器,然后展示如何设计它们的组合,以实现统计效率和计算效率。我们的E-探测器框架可以被具体化为恢复参数问题的经典基于似然的程序,同时也为许多非参数问题提供了第一个变化检测方法。作为一个运行的例子,我们处理了一个没有i.i.d.假设的、有界随机变量均值检测变化的问题,包括在多个赛季中跟踪篮球队的表现。