Sequential Multivariate Change Detection with Calibrated and Memoryless False Detection Rates.

Responding appropriately to the detections of a sequential change detector requires knowledge of the rate at which false positives occur in the absence of change. When the pre-change and post-change distributions are unknown, setting detection thresholds to achieve a desired false positive rate is challenging, even when there exists a large number of samples from the reference distribution. Existing works resort to setting time-invariant thresholds that focus on the expected runtime of the detector in the absence of change, either bounding it loosely from below or targeting it directly but with asymptotic arguments that we show cause significant miscalibration in practice. We present a simulation-based approach to setting time-varying thresholds that allows a desired expected runtime to be targeted with a 20x reduction in miscalibration whilst additionally keeping the false positive rate constant across time steps. Whilst the approach to threshold setting is metric agnostic, we show that when using the popular and powerful quadratic time MMD estimator, thoughtful structuring of the computation can reduce the cost during configuration from $O(N^2B)$ to $O(N^2+NB)$ and during operation from $O(N^2)$ to $O(N)$, where $N$ is the number of reference samples and $B$ the number of bootstrap samples. Code is made available as part of the open-source Python library \texttt{alibi-detect}.