{"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/fast-online-changepoint-detection-via","title":"Fast Online Changepoint Detection via Functional Pruning CUSUM statistics","arxiv_id":"2110.08205","date":"2021-10-15","proceeding":"NeurIPS 2023 11","authors":["Gaetano Romano","Idris Eckley","Paul Fearnhead","Guillem Rigaill"],"abstract":"Many modern applications of online changepoint detection require the ability to process high-frequency observations, sometimes with limited available computational resources. Online algorithms for detecting a change in mean often involve using a moving window, or specifying the expected size of change. Such choices affect which changes the algorithms have most power to detect. We introduce an algorithm, Functional Online CuSUM (FOCuS), which is equivalent to running these earlier methods simultaneously for all sizes of window, or all possible values for the size of change. Our theoretical results give tight bounds on the expected computational cost per iteration of FOCuS, with this being logarithmic in the number of observations. We show how FOCuS can be applied to a number of different change in mean scenarios, and demonstrate its practical utility through its state-of-the art performance at detecting anomalous behaviour in computer server data.","url_abs":"https://arxiv.org/abs/2110.08205v3","url_pdf":"https://arxiv.org/pdf/2110.08205v3.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":"fast-online-changepoint-detection-via","repo_url":"https://github.com/gtromano/focus","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":{"status":"ok","spdx":"GPL-3.0"}}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=2110.08205","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}