High dimensional change point estimation via sparse projection
From MaRDI portal
Abstract: Changepoints are a very common feature of Big Data that arrive in the form of a data stream. In this paper, we study high-dimensional time series in which, at certain time points, the mean structure changes in a sparse subset of the coordinates. The challenge is to borrow strength across the coordinates in order to detect smaller changes than could be observed in any individual component series. We propose a two-stage procedure called `inspect' for estimation of the changepoints: first, we argue that a good projection direction can be obtained as the leading left singular vector of the matrix that solves a convex optimisation problem derived from the CUSUM transformation of the time series. We then apply an existing univariate changepoint estimation algorithm to the projected series. Our theory provides strong guarantees on both the number of estimated changepoints and the rates of convergence of their locations, and our numerical studies validate its highly competitive empirical performance for a wide range of data generating mechanisms. Software implementing the methodology is available in the R package `InspectChangepoint'.
Recommendations
Cites work
- A Direct Formulation for Sparse PCA Using Semidefinite Programming
- A dual algorithm for the solution of nonlinear variational problems via finite element approximation
- A limit theorem for the maximum of normalized sums of independent random variables
- A test for a change in a parameter occurring at an unknown point
- A useful variant of the Davis-Kahan theorem for statisticians
- Break detection in the covariance structure of multivariate time series models
- Change-point detection in panel data
- Change-point detection in panel data via double CUSUM statistic
- Circular binary segmentation for the analysis of array-based DNA copy number data
- Common breaks in means and variances for panel data
- Detecting changes in cross-sectional dependence in multivariate time series
- Detecting simultaneous change points in multiple sequences
- Detection of changes in multivariate time series with application to EEG data
- Detection of multiple change-points in multivariate time series
- Detection of Multiple Structural Breaks in Multivariate Time Series
- Distributed optimization and statistical learning via the alternating direction method of multipliers
- Early warning CUSUM plans for surveillance of negative binomial daily disease counts
- Evaluating stationarity via change-point alternatives with applications to fMRI data
- Extensions of some classical methods in change point analysis
- High-dimensional change-point estimation: combining filtering with convex optimization
- Maximum likelihood estimation of a log-concave density and its distribution function: basic properties and uniform consistency
- Maximum likelihood estimation of a multi-dimensional log-concave density. With discussion and authors' reply
- Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
- Multiscale change point inference. With discussion and authors' reply
- On consistency and sparsity for principal components analysis in high dimensions
- Optimal detection of changepoints with a linear computational cost
- Simultaneous analysis of Lasso and Dantzig selector
- SLEX Analysis of Multivariate Nonstationary Time Series
- Statistical and computational trade-offs in estimation of sparse principal components
- Testing and Locating Variance Changepoints with Application to Stock Prices
- Testing for changes in multivariate dependent observations with an application to temperature changes
- The Computational Complexity of the Restricted Isometry Property, the Nullspace Property, and Related Concepts in Compressed Sensing
- The Influence Curve and Its Role in Robust Estimation
- The Rotation of Eigenvectors by a Perturbation. III
- Uniform change point tests in high dimension
- Wild binary segmentation for multiple change-point detection
Cited in
(only showing first 100 items - show all)- High-dimensional changepoint detection via a geometrically inspired mapping
- Ensemble binary segmentation for irregularly spaced data with change-points
- High dimensional efficiency with applications to change point tests
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Relevant change points in high dimensional time series
- Most recent changepoint detection in censored panel data
- Fréchet change-point detection
- Minimax rates in sparse, high-dimensional change point detection
- A novel change-point approach for the detection of gas emission sources using remotely contained concentration data
- High dimensional change point inference: recent developments and extensions
- Online multivariate changepoint detection with type I error control and constant time/memory updates per series
- Robust inference for change points in high dimension
- A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models
- Inference on a structural break in trend with mildly integrated errors
- Inference for change points in high-dimensional data via selfnormalization
- Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
- A robust bootstrap change point test for high-dimensional location parameter
- Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring
- Sequential change point detection in high dimensional time series
- On change-point estimation under Sobolev sparsity
- Univariate mean change point detection: penalization, CUSUM and optimality
- Mean estimation with sub-Gaussian rates in polynomial time
- BayesProject: fast computation of a projection direction for multivariate changepoint detection
- Inference on the change point under a high dimensional sparse mean shift
- Estimating multiple breaks in nonstationary autoregressive models
- Testing and estimating change-points in the covariance matrix of a high-dimensional time series
- High-dimensional change-point estimation: combining filtering with convex optimization
- SONIC: social network analysis with influencers and communities
- Estimation of high-dimensional change-points under a group sparsity structure
- Change-point detection of the mean vector with fewer observations than the dimension using instantaneous normal random projections
- Detecting Changes in Slope With an L0 Penalty
- scientific article; zbMATH DE number 7626763 (Why is no real title available?)
- Sparsity identification in ultra-high dimensional quantile regression models with longitudinal data
- Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models
- Subset Multivariate Collective and Point Anomaly Detection
- Adaptive Change Point Monitoring for High-Dimensional Data
- Network Structure Change Point Detection by Posterior Predictive Discrepancy
- An efficient two step algorithm for high dimensional change point regression models without grid search
- Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
- Large-Scale Datastreams Surveillance via Pattern-Oriented-Sampling
- HDCD
- Detecting Multiple Change Points: The PULSE Criterion
- Efficient multiple change point detection for high‐dimensional generalized linear models
- Collective Anomaly Detection in High-Dimensional Var Models
- A Normality Test for High-dimensional Data Based on the Nearest Neighbor Approach
- Adaptive Inference for Change Points in High-Dimensional Data
- Inference of Breakpoints in High-dimensional Time Series
- Bayesian Change Point Detection with Spike-and-Slab Priors
- Optimal multiple change-point detection for high-dimensional data
- Greedy Segmentation for a Functional Data Sequence
- Change-point testing for parallel data sets with FDR control
- Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences
- Optimal change-point detection and localization
- Change-point inference for high-dimensional heteroscedastic data
- Change point detection for high dimensional data via kernel measure with application to human aging brain data
- Detection of Multiple Structural Breaks in Large Covariance Matrices
- Efficient change point detection and estimation in high-dimensional correlation matrices
- ^2 inference for change points in high-dimensional time series via a two-way MOSUM
- Change point detection via feedforward neural networks with theoretical guarantees
- Two-Way Truncated Linear Regression Models with Extremely Thresholding Penalization
- Inference in High-Dimensional Online Changepoint Detection
- A communication-efficient, online changepoint detection method for monitoring distributed sensor networks
- Hierarchical Spatio-Temporal Change-Point Detection
- Activation discovery with FDR control: application to fMRI data
- Some clustering-based change-point detection methods applicable to high dimension, low sample size data
- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Detection and estimation of structural breaks in high-dimensional functional time series
- Most Recent Changepoint Detection in Panel Data
- Monitoring Network Changes in Social Media
- Detecting changes in mixed-sampling rate data sequences
- Detecting Changes in Covariance via Random Matrix Theory
- Efficient sparsity adaptive changepoint estimation
- Dating the break in high-dimensional data
- A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes
- Multiple change point detection in functional data with applications to biomechanical fatigue data
- Change point estimation for a stochastic heat equation
- A sparse dimension-reduced subspace-based approach for detecting multiple change points in high-dimensional data
- A nonparametric Bootstrap CUSUM multi-chart for detecting unknown abrupt changes
- Sharp phase transitions in high-dimensional changepoint detection
- High-dimensional change point detection with missing values
- Distance-based CUSUM statistics for high dimensional change points
- Efficient likelihood-based temporal changepoint detection in spatio-temporal processes
- Simultaneously detecting spatiotemporal changes with penalized Poisson regression models
- Identification of distributional heterogeneity under maximum adjacent separation subspace
- Distribution estimation for time series via DNN-based GANs with an application to change-point estimation
- Testing stationarity and change point detection in reinforcement learning
- High-dimensional data analysis: change point detection via bootstrap MOSUM
- Dimension-agnostic change point detection
- A Distribution-Free Method for Change Point Detection in Non-Sparse High Dimensional Data
- On the tightness of graph-based statistics
- Inference for change points in high dimensional mean shift models
- Moment deviation subspaces of dimension reduction for high-dimensional data with change structure
- Robust change point detection for high-dimensional linear models with tolerance for outliers and heavy tails
- PCA-uCPD: an ensemble method for multiple change-point detection in moderately high-dimensional data
- Changepoint detection on a graph of time series
- Bayesian uncertainty quantification and structure detection for multiple change points models
- Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence
- Improving power by conditioning on less in post-selection inference for changepoints
- Multiple change point detection for high-dimensional data
- A computationally efficient, high-dimensional multiple changepoint procedure with application to global terrorism incidence
This page was built for publication: High dimensional change point estimation via sparse projection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4603814)
