计算机与现代化Issue(7)：5-8,4.DOI:10.3969/j.issn.1006-2475.2015.07.002
基于AUC的非参数快速变点检测算法
A Nonparametric Fast Algorithm for Abrupt Changes Detection Based on AUC
摘要
Abstract
Recently, the technologies for detecting abrupt changes have been prevalent in many fields. However, as the conven-tional strategy, parametric method has some inherent limitations when it is used in real production environment. In order to solve these problems, we propose a novel nonparametric method for abrupt changes detection, which solves the problem by AUC ( Area under the Curve) . We divided the process into two phases:during the pre-analysis period, we set two continuous scanning win-dows and then calculate the AUC values of the samples in difficult scanning windows in order to obtain the means and variances;during the detection period, we detect the changes by hypothesis testing. In simulation experiments, the method we proposed out-performs CUSUM in terms of robustness and multiple changes detection.关键词
变点检测/非参数估计/AUCKey words
abrupt changes detection/nonparametric method/area under the curve( AUC)分类
信息技术与安全科学引用本文复制引用
吴学龙,徐维超..基于AUC的非参数快速变点检测算法[J].计算机与现代化,2015,(7):5-8,4.基金项目
国家自然科学基金资助项目(61271380) （61271380）
广东省自然科学基金资助项目(S2012010009870,1414050001981) （S2012010009870,1414050001981）
