Optimal nonparametric change point analysis
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Assume a sequence of data collected at \(T\) timepoints and at each time \(t\) there are multiple observations generated from a common distribution \(F_t\). This paper considers a problem of detecting timepoints when there is a change in the distribution function without a parametric assumption on the distribution. A Kolmogorov-Smirnov detector procedure based on CUSUM Kolmogorov-Smirnov statistic is proposed, which is shown to be consistent and optimal. Practical issues, such as selection of tuning parameters in the definition of the procedure, are also considered. Simulation studies are also performed to assess the performance of the proposed method and in relation to other competing methods. Potential advantage of the proposed method is also demonstrated through the application to a micro-array dataset.
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Cited in
(18)- Consistent change-point detection with kernels
- Asymptotic distribution-free change-point detection for multivariate and non-Euclidean data
- Univariate mean change point detection: penalization, CUSUM and optimality
- Nonparametric detection for univariate and functional data
- Nonparametric maximum likelihood approach to multiple change-point problems
- Nonparametric multiple change point estimation in highly dependent time series
- Single and multiple change-point detection with differential privacy
- Sequential nonparametric tests for a change in distribution: an application to detecting radiological anomalies
- Optimal change-point detection and localization
- Multilayer random dot product graphs: estimation and online change point detection
- Robust selection of the number of change-points via FDR control
- Nonparametric data segmentation in multivariate time series via joint characteristic functions
- Joint random partition models for multivariate change point analysis
- Robust changepoint detection in the variability of multivariate functional data
- Testing the distribution change in multivariate data using rank energy statistics
- ART: distribution-free and model-agnostic changepoint detection with finite-sample guarantees
- Optimal change point detection and localization in sparse dynamic networks
- changepoints
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