Multiple testing of local extrema for detection of change points
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change pointsdifferentialFDRGaussian processeskernel smoothinglocal maximalocal minima.multiple testingpower
Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Paired and multiple comparisons; multiple testing (62J15) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Abstract: A new approach to detect change points based on differential smoothing and multiple testing is presented for long data sequences modeled as piecewise constant functions plus stationary ergodic Gaussian noise. As an application of the STEM algorithm for peak detection developed in citet{schwartzman2011multiple} and citet{cheng2017multiple}, the method detects change points as significant local maxima and minima after smoothing and differentiating the observed sequence. The algorithm, combined with the Benjamini-Hochberg procedure for thresholding p-values, provides asymptotic strong control of the False Discovery Rate (FDR) and power consistency, as the length of the sequence and the size of the jumps get large. Simulations show that FDR levels are maintained in non-asymptotic conditions and guide the choice of smoothing bandwidth. The methods are illustrated in magnetometer sensor data and genomic array-CGH data. An R package named "dSTEM" is available in R cran.
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Cites work
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Cited in
(12)- mSTEM
- Spatially relaxed inference on high-dimensional linear models
- An empirical-characteristic-function-based change-point test for detection of multiple distributional changes
- Long signal change-point detection
- Multiple testing with the structure-adaptive Benjamini-Hochberg algorithm
- dSTEM
- dSTEM
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- Smooth Matérn Gaussian random fields: Euler characteristic, expected number and height distribution of critical points
- Robust Narrowest Significance Pursuit: Inference for Multiple Change-Points in the Median
- On local maxima of smooth Gaussian nonstationary processes and stationary planar fields with trends
- A clustering-based integrated narrowest significance pursuit method for change-point estimation in panel data with application
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