A hierarchical, nonparametric, sequential change-detection test

Design of applications working in nonstationary environments requires the ability to detect and anticipate possible behavioral changes affecting the system under investigation. In this direction, the literature provides several tests aiming at assessing the stationarity of a data generating process; of particular interest are nonparametric sequential change-point detection tests that do not require any a-priori information regarding both process and change. Moreover, such tests can be made automatic through an on-line inspection of sequences of data, hence making them particularly interesting to address real applications. Following this approach, we suggest a novel two-level hierarchical change-detection test designed to detect possible occurrences of changes by observing incoming measurements. This hierarchical solution significantly reduces the number of false positives at the expenses of a negligible increase of false negatives and detection delays. Experiments show the effectiveness of the proposed approach both on synthetic dataset and measurements from real applications.