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Title: Sequential detection of common transient signals in high dimensional data stream
Abstract Motivated from sequential detection of transient signals in high dimensional data stream, we first study the performance of EWMA and MA charts for detecting a transient signal in a single sequence in terms of the power of detection under the constraint of false detecting probability in the stationary state. Satisfactory approximations are given for the false detection probability and the power of detection. Comparison of EWMA, MA, and CUSUM charts shows that both charts are quite competitive. A multivariate EWMA procedure is considered by using the squared sum of individual EWMA processes and a fairly accurate approximation for the false detection probability is also given. To increase the power of detection, we use the Min‐δ procedure by truncating the estimated weak signals. Dow Jones 30 industrial stock prices are used for illustration.  more » « less
Award ID(s):
2027723
PAR ID:
10558451
Author(s) / Creator(s):
;
Publisher / Repository:
Wiley
Date Published:
Journal Name:
Naval Research Logistics (NRL)
Volume:
69
Issue:
4
ISSN:
0894-069X
Page Range / eLocation ID:
640 to 653
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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