Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment. The aim is to test whether such an unknown change has occurred or not. For instance, detecting a change in trend for a randomly spaced time series is a special case of the investigated framework. The designed changepoint tests are shown to be consistent and involve neither nuisance parameters nor tuning constants, which makes the testing procedures effortlessly applicable. A changepoint estimator is also introduced and its consistency is proved. A boundary issue is avoided, meaning that the changepoint can be detected when being close to the extremities of the observation regime. As a theoretical basis for the developed methods, a weak invariance principle for the smallest singular value of the data matrix is provided, assuming weakly dependent and non-stationary errors. The results are presented in a simulation study, which demonstrates computational efficiency of the techniques. The completely data-driven tests are illustrated through a calibration problem, however, the methodology can be applied to other areas such as clinical measurements, dietary assessment, computational psychometrics, or environmental toxicology as manifested in the paper.
We propose a Bayesian hierarchical model to simultaneously estimate mean based changepoints in spatially correlated functional time series. Unlike previous methods that assume a shared changepoint at all spatial locations or ignore spatial correlation, our method treats changepoints as a spatial process. This allows our model to respect spatial heterogeneity and exploit spatial correlations to improve estimation. Our method is derived from the ubiquitous cumulative sum (CUSUM) statistic that dominates changepoint detection in functional time series. However, instead of directly searching for t…
We propose the Multiple Changepoint Isolation (MCI) method for detecting multiple changes in the mean and covariance of a functional process. We first introduce a pair of projections to represent the variability "between" and "within" the functional observations. We then present an augmented fused lasso procedure to split the projections into multiple regions robustly. These regions act to isolate each changepoint away from the others so that the powerful univariate CUSUM statistic can be applied region-wise to identify the changepoints. Simulations show that our method accurately detects the …
University of Warwick（华威大学）；The Alan Turing Institute for Data Science & AI（艾伦·图灵数据科学与人工智能研究所）
Bayesian On-line Changepoint Detection is extended to on-line model selection and non-stationary spatio-temporal processes. We propose spatially structured Vector Autoregressions (VARs) for modelling the process between changepoints (CPs) and give an upper bound on the approximation error of such models. The resulting algorithm performs prediction, model selection and CP detection on-line. Its time complexity is linear and its space complexity constant, and thus it is two orders of magnitudes faster than its closest competitor. In addition, it outperforms the state of the art for multivariate …
In modern business modeling and analytics, data monitoring plays a critical role. Nowadays, sophisticated models often rely on hundreds or even thousands of input variables. Over time, structural changes such as abrupt level shifts or trend slope changes may occur among some of these variables, likely due to changes in economy or government policies. As a part of data monitoring, it is important to identify these changepoints, in terms of which variables exhibit such changes, and what time locations do the changepoints occur. Being alerted about the changepoints can help modelers decide if mod…
Given a time series in $R^n$ with a piecewise constant mean and independent noises, we propose an exact dynamic programming algorithm to minimize a least square criterion with a multiscale penalty promoting well-spread changepoints. Such a penalty has been proposed in Verzelen et al. (2020), and it achieves optimal rates for changepoint detection and changepoint localization. Our proposed algorithm, named Ms.FPOP, extends functional pruning ideas of Rigaill (2015) and Maidstone et al. (2017) to multiscale penalties. For large signals, $n \geq 10^5$, with relatively few real changepoints, Ms.FP…
Panel data are modern statistical tools which are commonly used in all kinds of econometric problems under various regularity assumptions. The panel data models with changepoints are introduced together with atomic pursuit methods and they are applied to estimate the underlying option price function. Robust estimates and complex insight into the data are both achieved by adopting the quantile LASSO approach. The final model is produced in a fully data-driven manner in just one single modeling step. In addition, the arbitrage-free scenarios are obtained by introducing a set of well defined line…
A common approach to detect multiple changepoints is to minimise a measure of data fit plus a penalty that is linear in the number of changepoints. This paper shows that the general finite sample behaviour of such a method can be related to its behaviour when analysing data with either none or one changepoint. This results in simpler conditions for verifying whether the method will consistently estimate the number and locations of the changepoints. We apply and demonstrate the usefulness of this result for a range of changepoint problems. Our new results include a weaker condition on the choic…
While there have been a lot of recent developments in the context of Bayesian model selection and variable selection for high dimensional linear models, there is not much work in the presence of change point in literature, unlike the frequentist counterpart. We consider a hierarchical Bayesian linear model where the active set of covariates that affects the observations through a mean model can vary between different time segments. Such structure may arise in social sciences/ economic sciences, such as sudden change of house price based on external economic factor, crime rate changes based on …
Nonparametric method of structural break detection in stochastic time series regression model
Indian Institute of Management Kozhikode（印度科泽科德管理学院）；Indian Institute of Science Education and Research（印度科学教育与研究学院）；Indian Institute of Management Bangalore（印度班加罗尔管理学院）
Many applications donot have the benefit of the laws of physics to derive succinct descriptive models for observed data. In alternative, interdependencies among $N$ time series $\{ x_{nk}, k>0 \}_{n=1}^{N}$ are nowadays often captured by a graph or network $G$ that in practice may be very large. The network itself may change over time as well (i.e., as $G_k$). Tracking brute force the changes of time varying networks presents major challenges, including the associated computational problems. Further, a large set of networks may not lend itself to useful analysis. This paper approximates the ti…
We consider estimating a piecewise-constant image, or a gradient-sparse signal on a general graph, from noisy linear measurements. We propose and study an iterative algorithm to minimize a penalized least-squares objective, with a penalty given by the "l_0-norm" of the signal's discrete graph gradient. The method proceeds by approximate proximal descent, applying the alpha-expansion procedure to minimize a proximal gradient in each iteration, and using a geometric decay of the penalty parameter across iterations. Under a cut-restricted isometry property for the measurement design, we prove glo…
We present two linear relations between an arbitrary (real tempered second order) generalized stochastic process over $\mathbb{R}^{d}$ and White Noise processes over $\mathbb{R}^{d}$. The first is that any generalized stochastic process can be obtained as a linear transformation of a White Noise. The second indicates that, under dimensional compatibility conditions, a generalized stochastic process can be linearly transformed into a White Noise. The arguments rely on the regularity theorem for tempered distributions, which is used to obtain a mean-square continuous stochastic process which is …
