Multiple testing of local extrema for detection of change points
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Gaussian processespowerkernel smoothingmultiple testingchange pointsdifferentialFDRlocal maximalocal minima.
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Hypothesis testing in multivariate analysis (62H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Paired and multiple comparisons; multiple testing (62J15) Non-Markovian processes: hypothesis testing (62M07)
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
(9)- Narrowest Significance Pursuit: Inference for Multiple Change-Points in Linear Models
- Smooth Matérn Gaussian random fields: Euler characteristic, expected number and height distribution of critical points
- Multiple testing with the structure-adaptive Benjamini-Hochberg algorithm
- An empirical-characteristic-function-based change-point test for detection of multiple distributional changes
- dSTEM
- mSTEM
- dSTEM
- Long signal change-point detection
- Spatially relaxed inference on high-dimensional linear models
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