Sequential Detection of a Temporary Change in Multivariate Time Series

In this work, we aim to provide a new and efficient recursive detection method for temporarily monitored signals. Motivated by the case of the propagation of an event through a field of sensors, we postulated that the change in the statistical properties in the monitored signals can only be temporary. Unfortunately, to our best knowledge, existing recursive and simple detection techniques such as the ones based on the cumulative sum (CUSUM) do not consider the temporary aspect of the change in a multivariate time series. In this paper, we propose a novel simple and efficient sequential detection algorithm, named Temporary-Event-CUSUM (TE-CUSUM). Combined with a new adaptive way to aggregate local CUSUM variables from each data stream, we empirically show that the TE-CUSUM has a very good detection rate in the case of an event passing through a field of sensors in a very noisy environment.