Efficient Regression Models for Scan Statistics

Abstract

We introduce a new class of regression models for scan statistics on real-valued signals. These allow for improved fitting of non-stationary signals to contrast with the interval anomalies identified by the scan statistics. Our models can represent generalized likelihood ratio statistics. While these methods naively require $O(n^4)$ for a length $n$ signal, we provide algorithmic improvements which lead to linear time algorithms (with assumptions on max interval width). Our methods, especially ones based on Nadaraya-Watson kernel regression, are demonstrated as especially effective in detecting both synthetically planted anomalies, and for identifying a real ``platforming'' issue in interferometric astronomy.