Locally private online change point detection
Datasets and Benchmarks Track
Authors: Tom Berrett, Yi Yu

We study online change point detection problems under the constraint of local differential privacy (LDP) where, in particular, the statistician does not have access to the raw data.  As a concrete problem, we study a multivariate nonparametric regression problem.  At each time point $t$, the raw data are assumed to be of the form $(X_t, Y_t)$, where $X_t$ is a $d$-dimensional feature vector and $Y_t$ is a response variable. Our primary aim is to detect changes in the regression function $m_t(x)=\mathbb{E}(Y_t |X_t=x)$ as soon as the change occurs.  We provide algorithms which respect the LDP constraint, which control the false alarm probability, and which detect changes with a minimal (minimax rate-optimal) delay.  To quantify the cost of privacy, we also present the optimal rate in the benchmark, non-private setting.  These non-private results are also new to the literature and thus are interesting \emph{per se}.  In addition, we study the univariate mean online change point detection problem, under privacy constraints.  This serves as the blueprint of studying more complicated private change point detection problems.