Implementation of several multi-sensor change-point detection methods in Matlab code.
Matlab M
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README.md
T2Hot1.m
change_detection.m
compute_delays.m
compute_threshold_mei.m
compute_threshold_sgz.m
compute_threshold_tv.m
compute_threshold_xs1.m
compute_threshold_xs2.m
data_generator.m
extra_functions.m
interpolate_missing_values.m
launch_experiments.m
martin_salvador2.m
mei.m
merging_delays.m
minmax_scale.m
normality_test.m
onlineShutdownDetectionCUSUM.m
parameter_estimation.m
plot_distributions.m
scale_data.m
statistics.m
tartakovsky_veeravalli.m
threshold_computing.m
threshold_computing_hampel.m
threshold_computing_mix1.m
threshold_computing_mix2.m
threshold_computing_standard.m
xie_siegmund_t1.m
xie_siegmund_t2.m
zamba_hawkins.m

README.md

About this code

This code was used for the experimental section of the following paper:

I apologize about code structure and cleaning. If you are intended to use this code and have any question, please don't hesitate to contact me.

Author

Manuel Martin Salvador msalvador@bournemouth.ac.uk Bournemouth University, UK

License

This code is licensed under LGPL v3. Please, check the LICENSE file for more information.

References

  • Tartakovsky, A. & Veeravalli, V., 2008. Asymptotically Optimal Quickest Change Detection in Distributed Sensor Systems. Sequential Analysis, 27(4), pp.441–475

  • Mei, Y., 2010. Efficient scalable schemes for monitoring a large number of data streams. Biometrika, 97(2), pp.419–433

  • Xie, Y. & Siegmund, D., 2013. Sequential multi-sensor change-point detection. The Annals of Statistics, 41(2), pp.670–692

  • Zamba, K.D. & Hawkins, D.M., 2006. A Multivariate Change-Point Model for Statistical Process Control. Technometrics, 48(4), pp.539–549.