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Change point detection for compositional multivariate data
Authors:K J  Prabuchandran  Singh  Nitin  Dayama  Pankaj  Agarwal  Ashutosh  Pandit  Vinayaka
Affiliation:1.Department of Computer Science and Engineering, Indian Institute of Technology, Dharwad, India
;2.IBM Research, Bangalore, India
;
Abstract:

Change point detection algorithms have numerous applications in areas of medical condition monitoring, fault detection in industrial processes, human activity analysis, climate change detection, and speech recognition. We consider the problem of change point detection on compositional multivariate data (each sample is a probability mass function), which is a practically important sub-class of general multivariate data. While the problem of change-point detection is well studied in univariate setting, and there are few viable implementations for a general multivariate data, the existing methods do not perform well on compositional data. In this paper, we propose a parametric approach for change point detection in compositional data. Moreover, using simple transformations on data, we extend our approach to handle any general multivariate data. Experimentally, we show that our method performs significantly better on compositional data and is competitive on general data compared to the available state of the art implementations.

Keywords:
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