Homogeneity and change-point detection tests for multivariate data using rank statistics

MaRDI QIDQ2803791zbMATH OpenFDO

Authors Alexandre Lung-Yut-Fong, Olivier Cappé, Céline Lévy-Leduc

Publication date 2 May 2016

Published in Journal de la Société Française de Statistique (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.1971, http://journal-sfds.fr/article/view/486/

zbMATH Keywords

change-point detectionmultivariate datahomogeneity testrank statisticsKruskal-Wallis testMann-Whitney/Wilcoxon test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Hypothesis testing in multivariate analysis (62H15)

Abstract: Detecting and locating changes in highly multivariate data is a major concern in several current statistical applications. In this context, the first contribution of the paper is a novel non-parametric two-sample homogeneity test for multivariate data based on the well-known Wilcoxon rank statistic. The proposed two-sample homogeneity test statistic can be extended to deal with ordinal or censored data as well as to test for the homogeneity of more than two samples. The second contribution of the paper concerns the use of the proposed test statistic to perform retrospective change-point analysis. It is first shown that the approach is computationally feasible even when looking for a large number of change-points thanks to the use of dynamic programming. Computable asymptotic $p$-values for the test are then provided in the case where a single potential change-point is to be detected. Compared to available alternatives, the proposed approach appears to be very reliable and robust. This is particularly true in situations where the data is contaminated by outliers or corrupted by noise and where the potential changes only affect subsets of the coordinates of the data.

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Cited in

(16)

• Asymptotic distribution-free change-point detection based on interpoint distances for high-dimensional data
• Asymptotic distribution-free change-point detection for multivariate and non-Euclidean data
• Nonparametric tests for homogeneity based on non-bipartite matching
• Robust multivariate change point analysis based on data depth
• Template matching with ranks
• Fréchet change-point detection
• Graph-based change-point detection
• A tail adaptive approach for change point detection
• Sequential change-point detection: computation versus statistical performance
• Some clustering-based change-point detection methods applicable to high dimension, low sample size data
• Pesticide concentration monitoring: investigating spatio-temporal patterns in left censored data
• Change-point methods for multivariate time-series: paired vectorial observations
• Long signal change-point detection
• Exact tests for offline changepoint detection in multichannel binary and count data with application to networks
• Rank-based multiple change-point detection
• Nonparametric multiple change-point estimation for analyzing large Hi-C data matrices

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