Generating High-Dimensional Datastreams for Change Detection

Here we present a best practice to inject changes in multivariate/high-dimensional datastreams: “Controlling Change Magnitude” (CCM) is a rigorous method to generate datastreams affected by a change having a desired magnitude at a known location. In CCM, changes are introduced by directly applying a roto-translation to the data, and the change magnitude is measured by the symmetric Kullback-Leibler divergence between the pre- and post-change data distributions. The roto-translation parameters yielding the desired change magnitude are identified by two iterative algorithms whose convergence is here proven. Our experiments show that CCM can effectively control the change magnitude in real-world datastreams, while traditional experimental practices might not be appropriate for assessing the performance of change-detection algorithms in high-dimensional data.