Inductive Conformal Martingales for Change-Point Detection

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Denis Volkhonskiy, Evgeny Burnaev, Ilia Nouretdinov, Alexander Gammerman, Vladimir Vovk ;
Proceedings of the Sixth Workshop on Conformal and Probabilistic Prediction and Applications, PMLR 60:132-153, 2017.

Abstract

We consider the problem of quickest change-point detection in data streams. Classical change-point detection procedures, such as CUSUM, Shiryaev-Roberts and Posterior Probability statistics, are optimal only if the change-point model is known, which is an unrealistic assumption in typical applied problems. Instead we propose a new method for change-point detection based on Inductive Conformal Martingales, which requires only the independence and identical distribution of observations. We compare the proposed approach to standard methods, as well as to change-point detection oracles, which model a typical practical situation when we have only imprecise (albeit parametric) information about pre- and post-change data distributions. Results of comparison provide evidence that change-point detection based on Inductive Conformal Martingales is an efficient tool, capable to work under quite general conditions unlike traditional approaches.

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