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Random projections and Hotelling’s T2 statistics for change detection in high-dimensional data streams

Skubalska-Rafajłowicz E.

International Journal of Applied Mathematics and Computer Science

2013

Vol. 23, no. 2

447--461

The method of change (or anomaly) detection in high-dimensional discrete-time processes using a multivariate Hotelling chart is presented. We use normal random projections as a method of dimensionality reduction. We indicate diagnostic properties of the Hotelling control chart applied to data projected onto a random subspace of Rn. We examine the random projection method using artificial noisy image sequences as examples.