Detecting a Path of Correlations in a Network

2015/11/03 by Arias-Castro, Ery, Lugosi, Gábor, Verzelen, Nicolas
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1511.01009

Abstract

We consider the problem of detecting an anomaly in the form of a path of correlations hidden in white noise. We provide a minimax lower bound and a test that, under mild assumptions, is able to achieve the lower bound up to a multiplicative constant.

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