Adaptive Inference for Change Points in High-Dimensional Data
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Abstract: In this article, we propose a class of test statistics for a change point in the mean of high-dimensional independent data. Our test integrates the U-statistic based approach in a recent work by cite{hdcp} and the -norm based high-dimensional test in cite{he2018}, and inherits several appealing features such as being tuning parameter free and asymptotic independence for test statistics corresponding to even s. A simple combination of test statistics corresponding to several different s leads to a test with adaptive power property, that is, it can be powerful against both sparse and dense alternatives. On the estimation front, we obtain the convergence rate of the maximizer of our test statistic standardized by sample size when there is one change-point in mean and , and propose to combine our tests with a wild binary segmentation (WBS) algorithm to estimate the change-point number and locations when there are multiple change-points. Numerical comparisons using both simulated and real data demonstrate the advantage of our adaptive test and its corresponding estimation method.
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Cited in
(27)- High dimensional efficiency with applications to change point tests
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- A robust bootstrap change point test for high-dimensional location parameter
- Inference on the change point under a high dimensional sparse mean shift
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