Online Change-point Detection using Foundation Probabilistic Forecasting Models

Online change-point detection is a fundamental problem in sequential monitoring, where the goal is to detect distributional changes in a time series as quickly as possible while controlling false alarms. We propose a general framework for online change-point detection that leverages foundation probabilistic forecasters, such as Chronos-2, which can capture complex temporal structure including trend, seasonality, heteroskedasticity, and nonlinear dependence. Our approach transforms each incoming observation relative to its predictive quantile forecast into an approximately standard Gaussian monitoring statistic, which can then be used in classical sequential detection procedures such as CUSUM and MOSUM. To reduce adaptation of the forecaster to post-change observations, we introduce a buffer between the forecasting context window and the forecast target. Because this design can induce serial dependence in the monitoring statistics, we develop a parametric bootstrap procedure to calibrate critical thresholds and control false alarms in practice. Extensive simulations across data-generating processes involving non-normality, trend, seasonality, heteroskedasticity, and autoregressive dependence show that the proposed method achieves competitive detection performance relative to benchmark procedures, while requiring no explicit specification of a parametric pre-change model.