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.
翻译：以在高维数据流中连续探测瞬时信号为动力,我们研究EWMA、MA、CUSUM和GLRT图表的性能,以便从静止状态的假探测概率(FDP)的限制下探测多变数据流(POD)的力量中检测一个瞬时信号。FDP和POD的相似性被给出。比较表明,在信号强度未知时,EWMA图表的性能与GLRT图表相同,而其设计没有信号长度,易于更新。此外,带有硬阈值的MEWMA图表在信号仅出现在一小部分频道时效果更好。 Dow Jones 30 工业存量价格被用于说明。
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