Bayesian change point detection for functional data

DOI10.1016/J.JSPI.2020.11.012zbMATH Open1465.62083arXiv1808.01236OpenAlexW3106848798MaRDI QIDQ830722FDOQ830722

Xiuqi Li, Subhashis Ghosal

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: We propose a Bayesian method to detect change points for functional data. We extract the features of a sequence of functional data by the discrete wavelet transform (DWT), and treat each sequence of feature independently. We believe there is potentially a change in each feature at possibly different time points. The functional data evolves through such changes throughout the sequences of observations. The change point for this sequence of functional data is the cumulative effect of changes in all features. We assign the features with priors which incorporate the characteristic of the wavelet coefficients. Then we compute the posterior distribution of change point for each sequence of feature, and define a matrix where each entry is a measure of similarity between two functional data in this sequence. We compute the ratio of the mean similarity between groups and within groups for all possible partitions, and the change point is where the ratio reaches the minimum. We demonstrate this method using a dataset on climate change.

Full work available at URL: https://arxiv.org/abs/1808.01236

zbMATH Keywords

functional datachange pointwavelet transformclimate changeposterior consistency

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to environmental and related topics (62P12) Climate science and climate modeling (86A08) Functional data analysis (62R10)

Cites Work

• Forecasting functional time series
• Wavelet Thresholding via A Bayesian Approach
• Detecting Changes in the Mean of Functional Observations
• A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
• Sequential block bootstrap in a Hilbert space with application to change point analysis
• Fundamentals of Nonparametric Bayesian Inference
• Adaptive Bayesian inference on the mean of an infinite-dimensional normal distribution
• Detecting and estimating changes in dependent functional data
• Testing the structural stability of temporally dependent functional observations and application to climate projections
• CLUSTERING FUNCTIONAL DATA USING WAVELETS
• Estimation of a change-point in the mean function of functional data
• On Optimality of Bayesian Wavelet Estimators
• On posterior distribution of Bayesian wavelet thresholding
• Bayesian clustering of functional data using local features
• Detecting and Dating Structural Breaks in Functional Data Without Dimension Reduction

Cited In (4)

• Asynchronous changepoint estimation for spatially correlated functional time series
• Consistency of binary segmentation for multiple change-point estimation with functional data
• Break point detection for functional covariance
• Bayesian high-dimensional regression for change point analysis

Uses Software

• ecp

This page was built for publication: Bayesian change point detection for functional data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q830722)