Change detection for uncertain autoregressive dynamic models through nonparametric estimation

Abstract

A new statistical approach for on-line change detection in uncertain dynamic system is proposed. In change detection problem, the distribution of a sequence of observations can change at some unknown instant. The goal is to detect this change, for example a parameter change, as quickly as possible with a minimal risk of false detection. In this paper, the observations come from an uncertain system modeled by an autoregressive model containing an unknown functional component. The popular Page’s CUSUM rule is not applicable anymore since it requires the full knowledge of the model. A new detection CUSUM-like scheme is proposed, which is based on the nonparametric estimation of the unknown component from a learning sample. Moreover, the estimation procedure can be updated on-line which ensures a better detection, especially at the beginning of the monitoring procedure. Simulation trials were performed on a model describing a water treatment process and show the interest of this new procedure with respect to the classic CUSUM rule.