TY - JOUR
T1 - GTΔ
T2 - Detecting temporal changes in group stochastic processes
AU - Toth, Edward
AU - Chawla, Sanjay
N1 - Publisher Copyright:
© 2018 ACM.
PY - 2018/7
Y1 - 2018/7
N2 - Given a portfolio of stocks or a series of frames in a video how do we detect significant changes in a group of values for real-time applications? In this article, we formalize the problem of sequentially detecting temporal changes in a group of stochastic processes. As a solution to this particular problem, we propose the group temporal change (GTΔ) algorithm, a simple yet effective technique for the sequential detection of significant changes in a variety of statistical properties of a group over time. Due to the flexible framework of the GTΔ algorithm, a domain expert is able to select one or more statistical properties that they are interested in monitoring. The usefulness of our proposed algorithm is also demonstrated against state-of-the-art techniques on synthetically generated data as well as on two real-world applications; a portfolio of healthcare stocks over a 20 year period and a video monitoring the activity of our Sun.
AB - Given a portfolio of stocks or a series of frames in a video how do we detect significant changes in a group of values for real-time applications? In this article, we formalize the problem of sequentially detecting temporal changes in a group of stochastic processes. As a solution to this particular problem, we propose the group temporal change (GTΔ) algorithm, a simple yet effective technique for the sequential detection of significant changes in a variety of statistical properties of a group over time. Due to the flexible framework of the GTΔ algorithm, a domain expert is able to select one or more statistical properties that they are interested in monitoring. The usefulness of our proposed algorithm is also demonstrated against state-of-the-art techniques on synthetically generated data as well as on two real-world applications; a portfolio of healthcare stocks over a 20 year period and a video monitoring the activity of our Sun.
KW - Anomaly detection
KW - Group change detection
KW - Time series analysis
UR - http://www.scopus.com/inward/record.url?scp=85052576732&partnerID=8YFLogxK
U2 - 10.1145/3183346
DO - 10.1145/3183346
M3 - Article
AN - SCOPUS:85052576732
VL - 12
JO - ACM Transactions on Knowledge Discovery from Data
JF - ACM Transactions on Knowledge Discovery from Data
SN - 1556-4681
IS - 4
M1 - a39
ER -