AI 中文总结
研究多元时间序列变化点检测后分析，通过提出事后统计程序，利用双样本检验确定变化坐标块，有理论保证且经模拟和实际数据实验验证，展现强大性能。
AI 中文摘要
我们考虑多元时间序列变化点的检测后分析，目标是确定哪些坐标导致了检测到的变化。在通过离线检测算法定位变化点后，我们提出事后统计程序来确定变化是否发生在两个预定义坐标块中的一个或两个中。我们的方法依赖于双样本检验程序，特别关注非参数检验；我们提供了控制第一类错误的理论保证。模拟和实际数据实验证明了所提出程序的强大性能。
英文摘要
We consider the post-detection analysis of change-points for multivariate time series, with the goal of identifying which coordinates are responsible for a detected change. After a change-point has been located by an offline detection algorithm, we propose post hoc statistical procedures to determine whether the change occurs in either of two predefined blocks of coordinates or in both. Our methods rely on two-sample testing procedures with a particular focus on nonparametric tests; we provide theoretical guarantees for Type I error control. Simulations and a real-data experiment demonstrate the strong performance of the proposed procedures.
Comments44 pages, 18 figures
