Long signal change-point detection

DOI10.1214/16-EJS1164zbMATH Open1397.62296arXiv1504.01702OpenAlexW2963228200MaRDI QIDQ309564FDOQ309564

Kevin Bleakley, David M. Mason, Gérard Biau

Publication date: 7 September 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: The detection of change-points in a spatially or time ordered data sequence is an important problem in many fields such as genetics and finance. We derive the asymptotic distribution of a statistic recently suggested for detecting change-points. Simulation of its estimated limit distribution leads to a new and computationally efficient change-point detection algorithm, which can be used on very long signals. We assess the algorithm via simulations and on previously benchmarked real-world data sets.

Full work available at URL: https://arxiv.org/abs/1504.01702

Recommendations

• Dynamic detection of change points in long time series
• Multiple change-point detection: a selective overview
• Optimal detection of changepoints with a linear computational cost
• Change point detection for the mean of long range dependence sequence
• Multiple testing of local extrema for detection of change points

zbMATH Keywords

limit distribution\(U\)-statisticchange-pointmulti-dimensional datastatistical test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Cites Work

• Wild binary segmentation for multiple change-point detection
• Approximation Theorems of Mathematical Statistics
• Hierarchical Bayesian Analysis of Changepoint Problems
• Title not available (Why is that?)
• Hierarchical clustering via joint between-within distances: extending Ward's minimum variance method
• Title not available (Why is that?)
• Optimal Detection of Changepoints With a Linear Computational Cost
• A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
• A Class of Statistics with Asymptotically Normal Distribution
• The Large-Sample Power of Tests Based on Permutations of Observations
• Statistical fraud detection: a review
• Detection of multiple change-points in multivariate time series
• Homogeneity and change-point detection tests for multivariate data using rank statistics
• Energy statistics: a class of statistics based on distances
• Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing
• Title not available (Why is that?)
• Structural Learning with Time-Varying Components: Tracking the Cross-Section of Financial Time Series
• Invariance principles for changepoint problems
• Almost sure convergence of generalized U-statistics
• Functional limit theorems for U-statistics in the degenerate case
• Using labeled data to evaluate change detectors in a multivariate streaming environment
• Random matrix approximation of spectra of integral operators
• Mercer theorem for RKHS on noncompact sets
• Eigenvalues of integral operators defined by smooth positive definite kernels

Cited In (2)

• Change-point detection in high-dimensional covariance structure
• A Kernel Multiple Change-point Algorithm via Model Selection

Uses Software

• energy
• wbs

This page was built for publication: Long signal change-point detection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q309564)