Bayesian Model for Multiple Change-Points Detection in Multivariate Time Series

DOI10.1109/TSP.2016.2566609MaRDI QIDQ4620885zbMATH OpenOpenAlexFDO

Authors Flore Harlé, Florent Chatelain, Cédric Gouy-Pailler, Sophie Achard

Publication date 8 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.3206

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

Abstract: This paper addresses the issue of detecting change-points in multivariate time series. The proposed approach differs from existing counterparts by making only weak assumptions on both the change-points structure across series, and the statistical signal distributions. Specifically change-points are not assumed to occur at simultaneous time instants across series, and no specific distribution is assumed on the individual signals. It relies on the combination of a local robust statistical test acting on individual time segments, with a global Bayesian framework able to optimize configurations from multiple local statistics (from segments of a unique time series or multiple time series). Using an extensive experimental set-up, our algorithm is shown to perform well on Gaussian data, with the same results in term of recall and precision as classical approaches, such as the fused lasso and the Bernoulli Gaussian model. Furthermore, it outperforms the reference models in the case of non normal data with outliers. The control of the False Discovery Rate by an acceptance level is confirmed. In the case of multivariate data, the probabilities that simultaneous change-points are shared by some specific time series are learned. We finally illustrate our algorithm with real datasets from energy monitoring and genomic. Segmentations are compared to state-of-the-art approaches based on fused lasso and group fused lasso.

Cited in

(8)

• Change point detection via feedforward neural networks with theoretical guarantees
• Bayesian multiple change-points detection in a normal model with heterogeneous variances
• A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes
• A Bayesian approach for the segmentation of series with a functional effect
• Bayesian multiple changepoints detection for Markov jump processes
• Bayesian loss-based approach to change point analysis
• Detecting multiple change-points in the mean of Gaussian process by model selection
• Inference of Breakpoints in High-dimensional Time Series

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