Online Centralized Non-parametric Change-point Detection via Graph-based Likelihood-ratio Estimation

Abstract

Consider each node of a graph to be generating a data stream that is synchronized and observed at near real-time. At a change-point , a change occurs at a subset of nodes C, which affects the probability distribution of their associated node streams. In this paper, we propose a novel kernel-based method to both detect and localize C, based on the direct estimation of the likelihood-ratio between the post-change and the pre-change distributions of the node streams. Our main working hypothesis is the smoothness of the likelihood-ratio estimates over the graph, i.e connected nodes are expected to have similar likelihood-ratios. The quality of the proposed method is demonstrated on extensive experiments on synthetic scenarios.

Tasks

Reproductions