{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/e-detectors-a-nonparametric-framework-for","title":"E-detectors: a nonparametric framework for sequential change detection","arxiv_id":"2203.03532","date":"2022-03-07","proceeding":null,"authors":["Jaehyeok Shin","Aaditya Ramdas","Alessandro Rinaldo"],"abstract":"Sequential change detection is a classical problem with a variety of applications. However, the majority of prior work has been parametric, for example, focusing on exponential families. We develop a fundamentally new and general framework for sequential change detection when the pre- and post-change distributions are nonparametrically specified (and thus composite). Our procedures come with clean, nonasymptotic bounds on the average run length (frequency of false alarms). In certain nonparametric cases (like sub-Gaussian or sub-exponential), we also provide near-optimal bounds on the detection delay following a changepoint. The primary technical tool that we introduce is called an \\emph{e-detector}, which is composed of sums of e-processes -- a fundamental generalization of nonnegative supermartingales -- that are started at consecutive times. We first introduce simple Shiryaev-Roberts and CUSUM-style e-detectors, and then show how to design their mixtures in order to achieve both statistical and computational efficiency. Our e-detector framework can be instantiated to recover classical likelihood-based procedures for parametric problems, as well as yielding the first change detection method for many nonparametric problems. As a running example, we tackle the problem of detecting changes in the mean of a bounded random variable without i.i.d. assumptions, with an application to tracking the performance of a basketball team over multiple seasons.","url_abs":"https://arxiv.org/abs/2203.03532v4","url_pdf":"https://arxiv.org/pdf/2203.03532v4.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"e-detectors-a-nonparametric-framework-for","repo_url":"https://github.com/shinjaehyeok/e_detector_paper","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":{"status":"ok","spdx":"MIT"}}],"tasks":[{"task_slug":"change-detection","task_name":"Change Detection"},{"task_slug":"computational-efficiency","task_name":"Computational Efficiency"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=2203.03532","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}