Abstract:We introduce and study two new inferential challenges associated with the sequential detection of change in a high-dimensional mean vector. First, we seek a confidence interval for the changepoint, and second, we estimate the set of indices of coordinates in which the mean changes. We propose an online algorithm that produces an interval with guaranteed nominal coverage, and whose length is, with high probability, of the same order as the average detection delay, up to a logarithmic factor. The corresponding s… Show more
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