arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1710.04556math.STstat.COstat.MLstat.TH
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一种新的基于核函数的多变点检测算法

New efficient algorithms for multiple change-point detection with kernels

Alain Celisse, Guillemette Marot, Morgane Pierre-Jean, Guillem Rigaill

摘要:

已经提出了几种基于再生核的统计方法来检测在观测的全分布中而不仅仅是在均值或方差中产生的突变。其中一些方法具有良好的统计特性(oracle不等式,\ldots)。尽管如此,它们在时间和内存方面都具有很高的计算成本。这使得其应用困难,即使对于小样本量和中等样本量($n< 10^4$)。首先描述一种新的高效和精确的算法,用于内核多个变点检测,具有改进的最坏情况下的复杂度,在时间上是二次的,在空间上是线性的,解决了这个计算问题。它允许处理中等大小的信号(高达$n \approx 10^5$)。其次,一个更快,但近似算法进行了描述。它是基于一个低秩近似的格拉姆矩阵。它在时间和空间上是线性的。这种近似算法可以应用于大规模信号($n \geq 10^6$)。这些精确和近似算法已经在\texttt{R}和\texttt{C}中实现,用于各种内核。这些新算法的计算和统计性能进行了评估,通过实证实验。新算法的运行时间被观察到比其他考虑的程序更快。最后,模拟证实了基于内核的方法在检测不仅仅是平均值的变化方面具有更高的统计准确性。这些模拟还说明了基于核的方法在分析由DNA拷贝数和等位基因B频率组成的复杂生物学特征方面的灵活性。实现该方法的R包将在github上提供。

英文摘要:

Several statistical approaches based on reproducing kernels have been proposed to detect abrupt changes arising in the full distribution of the observations and not only in the mean or variance. Some of these approaches enjoy good statistical properties (oracle inequality, \ldots). Nonetheless, they have a high computational cost both in terms of time and memory. This makes their application difficult even for small and medium sample sizes ($n< 10^4$). This computational issue is addressed by first describing a new efficient and exact algorithm for kernel multiple change-point detection with an improved worst-case complexity that is quadratic in time and linear in space. It allows dealing with medium size signals (up to $n \approx 10^5$). Second, a faster but approximation algorithm is described. It is based on a low-rank approximation to the Gram matrix. It is linear in time and space. This approximation algorithm can be applied to large-scale signals ($n \geq 10^6$). These exact and approximation algorithms have been implemented in \texttt{R} and \texttt{C} for various kernels. The computational and statistical performances of these new algorithms have been assessed through empirical experiments. The runtime of the new algorithms is observed to be faster than that of other considered procedures. Finally, simulations confirmed the higher statistical accuracy of kernel-based approaches to detect changes that are not only in the mean. These simulations also illustrate the flexibility of kernel-based approaches to analyze complex biological profiles made of DNA copy number and allele B frequencies. An R package implementing the approach will be made available on github.

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