High-dimensional changepoint detection via a geometrically inspired mapping
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Abstract: High-dimensional changepoint analysis is a growing area of research and has applications in a wide range of fields. The aim is to accurately and efficiently detect changepoints in time series data when both the number of time points and dimensions grow large. Existing methods typically aggregate or project the data to a smaller number of dimensions; usually one. We present a high-dimensional changepoint detection method that takes inspiration from geometry to map a high-dimensional time series to two dimensions. We show theoretically and through simulation that if the input series is Gaussian then the mappings preserve the Gaussianity of the data. Applying univariate changepoint detection methods to both mapped series allows the detection of changepoints that correspond to changes in the mean and variance of the original time series. We demonstrate that this approach outperforms the current state-of-the-art multivariate changepoint methods in terms of accuracy of detected changepoints and computational efficiency. We conclude with applications from genetics and finance.
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Cited in
(23)- High dimensional change point inference: recent developments and extensions
- Spatial rank-based high-dimensional change point detection via random integration
- BayesProject: fast computation of a projection direction for multivariate changepoint detection
- Forman-Ricci flow for change detection in large dynamic data sets
- Consistent and powerful graph-based change-point test for high-dimensional data
- Graphical Influence Diagnostics for Changepoint Models
- changepoint.geo
- Asymptotic distribution-free change-point detection based on interpoint distances for high-dimensional data
- Epidemic changepoint detection in the presence of nuisance changes
- On the trend detection of time-ordered intensity images of point processes on linear networks
- Doubly-online changepoint detection for monitoring health status during sports activities
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- A computationally efficient, high-dimensional multiple changepoint procedure with application to global terrorism incidence
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