Bayesian detection of abnormal segments in multiple time series

DOI10.48550/ARXIV.1412.5565zbMATH Open1384.62286arXiv1412.5565OpenAlexW2964132830MaRDI QIDQ119892FDOQ119892

Paul Fearnhead, Paul Fearnhead, Lawrence Bardwell, Lawrence Bardwell

Publication date: 17 December 2014

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: We present a novel Bayesian approach to analysing multiple time-series with the aim of detecting abnormal regions. These are regions where the properties of the data change from some normal or baseline behaviour. We allow for the possibility that such changes will only be present in a, potentially small, subset of the time-series. We develop a general model for this problem, and show how it is possible to accurately and efficiently perform Bayesian inference, based upon recursions that enable independent sampling from the posterior distribution. A motivating application for this problem comes from detecting copy number variation (CNVs), using data from multiple individuals. Pooling information across individuals can increase the power of detecting CNVs, but often a specific CNV will only be present in a small subset of the individuals. We evaluate the Bayesian method on both simulated and real CNV data, and give evidence that this approach is more accurate than a recently proposed method for analysing such data.

Full work available at URL: https://arxiv.org/abs/1412.5565

zbMATH Keywords

BARDchangepoint detectioncopy number variationPASS

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (9)

• Detecting systematic anomalies affecting systems when inputs are stationary time series
• Detecting linear trend changes in data sequences
• Detecting and modeling changes in a time series of proportions
• Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México
• Collective Anomaly Detection in High-Dimensional Var Models
• Subset Multivariate Collective and Point Anomaly Detection
• anomaly
• Real Time Anomaly Detection And Categorisation
• Multiple changepoint detection with partial information on changepoint times

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