Detecting Abrupt Changes in High-Dimensional Self-Exciting Poisson Processes

DOI10.48550/ARXIV.2006.03572MaRDI QIDQ97737zbMATH OpenOpenAlexFDO

Authors Daren Wang, Yi Yu, Rebecca Willett, Daren Wang, Yi Yu, Rebecca Willett

Publication date 5 June 2020

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.03572

zbMATH Keywords

high-dimensional statisticspenalized dynamic programmingpiecewise stationarityself-exciting Poisson process

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: High-dimensional self-exciting point processes have been widely used in many application areas to model discrete event data in which past and current events affect the likelihood of future events. In this paper, we are concerned with detecting abrupt changes of the coefficient matrices in discrete-time high-dimensional self-exciting Poisson processes, which have yet to be studied in the existing literature due to both theoretical and computational challenges rooted in the non-stationary and high-dimensional nature of the underlying process. We propose a penalized dynamic programming approach which is supported by a theoretical rate analysis and numerical evidence.

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Cited in

(1)

• changepoints

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