Abstract Quick detection of common changes is critical in sequential monitoring of multistream data where a common change is a change that only occurs in a portion of panels. After a common change is detected by using a combined cumulative sum Shiryaev-Roberts (CUSUM-SR) procedure, we first study the joint distribution for values of the CUSUM process and the estimated delay detection time for the unchanged panels. A Benjamini-Hochberg (BH) method using the asymptotic exponential property for the CUSUM process is developed to isolate the changed panels with control on the false discovery rate (FDR). The common change point is then estimated based on the isolated changed panels. Simulation results show that the proposed method can also control the false non-discovery rate (FNR) by properly selecting the FDR.

中文翻译：

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顺序检测后共同变化点的估计和变化面板的隔离

摘要 常见变化的快速检测对于多流数据的顺序监控至关重要，其中常见变化是仅发生在部分面板中的变化。在使用组合累积和 Shiryaev-Roberts (CUSUM-SR) 程序检测到共同变化后，我们首先研究 CUSUM 过程值的联合分布和未更改面板的估计延迟检测时间。开发了一种使用 CUSUM 过程的渐近指数属性的 Benjamini-Hochberg (BH) 方法来隔离更改的面板，并控制错误发现率 (FDR)。然后根据孤立的变化面板估计共同变化点。仿真结果表明，该方法还可以通过正确选择FDR来控制错误的非发现率（FNR）。