Fast Online Changepoint Detection

We study online changepoint detection in the context of a linear regression model. We propose a class of heavily weighted statistics based on the CUSUM process of the regression residuals, which are specifically designed to ensure timely detection of breaks occurring early on during the monitoring horizon. We subsequently propose a class of composite statistics, constructed using different weighing schemes; the decision rule to mark a changepoint is based on the largest statistic across the various weights, thus effectively working …

class context detection econ.em horizon linear linear regression monitoring process regression statistics stat.me stat.ml study