Unsupervised Change Detection using DRE-CUSUM

Sudarshan Adiga, Ravi Tandon

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

2 Scopus citations

Abstract

This paper presents DRE-CUSUM, an unsupervised density-ratio estimation (DRE) based approach to determine statistical changes in time-series data when no knowledge of the pre-and post-change distributions are available. The core idea behind the proposed approach is to split the time-series at an arbitrary point and estimate the ratio of densities of distribution (using a parametric model such as a neural network) before and after the split point. The DRE-CUSUM change detection statistic is then derived from the cumulative sum (CUSUM) of the logarithm of the estimated density ratio. We present a theoretical justification as well as accuracy guarantees which show that the proposed statistic can reliably detect statistical changes, irrespective of the split point. While there have been prior works on using density ratio based methods for change detection, to the best of our knowledge, this is the first unsupervised change detection approach with a theoretical justification and accuracy guarantees. The simplicity of the proposed framework makes it readily applicable in various practical settings (including high-dimensional time-series data); we also discuss generalizations for online change detection. We experimentally show the superiority of DRE-CUSUM using both synthetic and real-world datasets over existing state-of-the-art unsupervised algorithms (such as Bayesian online change detection, its variants as well as several other heuristic methods). Full version of the paper available in [1].

Original languageEnglish (US)
Title of host publication56th Asilomar Conference on Signals, Systems and Computers, ACSSC 2022
EditorsMichael B. Matthews
PublisherIEEE Computer Society
Pages1103-1110
Number of pages8
ISBN (Electronic)9781665459068
DOIs
StatePublished - 2022
Event56th Asilomar Conference on Signals, Systems and Computers, ACSSC 2022 - Virtual, Online, United States
Duration: Oct 31 2022Nov 2 2022

Publication series

NameConference Record - Asilomar Conference on Signals, Systems and Computers
Volume2022-October
ISSN (Print)1058-6393

Conference

Conference56th Asilomar Conference on Signals, Systems and Computers, ACSSC 2022
Country/TerritoryUnited States
CityVirtual, Online
Period10/31/2211/2/22

ASJC Scopus subject areas

  • Signal Processing
  • Computer Networks and Communications

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