# Online Change-Point Detection in High-Dimensional Covariance Structure with Application to Dynamic Networks

arXiv: https://arxiv.org/abs/1911.07762 · HTML: https://mlsanity.com/paper/1911.07762/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 18 Nov 2019.

## Built on by (most cited first, 1 of 1)

- [Ultralow-dimensionality reduction for identifying critical transitions by spatial-temporal PCA](https://mlsanity.com/paper/2501.12582/) (2025)

## Abstract (arXiv)

In this paper, we develop an online change-point detection procedure in the covariance structure of high-dimensional data. A new stopping rule is proposed to terminate the process as early as possible when a change in covariance structure occurs. The stopping rule allows temporal dependence and can be applied to non-Gaussian data. An explicit expression for the average run length (ARL) is derived, so that the level of threshold in the stopping rule can be easily obtained with no need to run time-consuming Monte Carlo simulations. We also establish an upper bound for the expected detection delay (EDD), the expression of which demonstrates the impact of data dependence and magnitude of change in the covariance structure. Simulation studies are provided to confirm accuracy of the theoretical results. The practical usefulness of the proposed procedure is illustrated by detecting the change of brain's covariance network in a resting-state fMRI dataset.