关键词: 变点检测, 非参数估计, AUC

Abstract: Recently, the technologies for detecting abrupt changes have been prevalent in many fields. However, as the conventional strategy, parametric method has some inherent limitations when it is used in real production environment. In order to solve these problems, we propose a novel nonparametric method for abrupt changes detection， which solves the problem by AUC (Area under the Curve). We divided the process into two phases: during the preanalysis period, we set two continuous scanning windows and then calculate the AUC values of the samples in difficult scanning windows in order to obtain the means and variances; during the detection period, we detect the changes by hypothesis testing. In simulation experiments, the method we proposed outperforms CUSUM in terms of robustness and multiple changes detection.

Key words: abrupt changes detection, nonparametric method, area under the curve(AUC)
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Key words: abrupt changes detection, nonparametric method, area under the curve(AUC)
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Key words: abrupt changes detection, nonparametric method, area under the curve(AUC)