Multi-scale detection of variance changes in renewal processes in the presence of rate change points

DOI10.1111/JTSA.12254zbMATH Open1386.60151arXiv1606.06633OpenAlexW2964181217MaRDI QIDQ4596437FDOQ4596437

Authors: Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper, Gaby Schneider 

Publication date: 1 December 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: Non-stationarity of the rate or variance of events is a well-known problem in the description and analysis of time series of events, such as neuronal spike trains. A multiple filter test (MFT) for rate homogeneity has been proposed earlier that detects change points on multiple time scales simultaneously. It is based on a filtered derivative approach, and the rejection threshold derives from a Gaussian limit process $L$ which is independent of the point process parameters. Here we extend the MFT to variance homogeneity of life times. When the rate is constant, the MFT extends directly to the null hypothesis of constant variance. In the presence of rate change points, we propose to incorporate estimates of these in the test for variance homogeneity, using an adaptation of the test statistic. The resulting limit process shows slight deviations from $L$ that depend on unknown process parameters. However, these deviations are small and do not considerably change the properties of the statistical test. This allows practical application, e.g.~to neuronal spike trains, which indicates various profiles of rate and variance change points.

Full work available at URL: https://arxiv.org/abs/1606.06633

Recommendations

• A multiple filter test for the detection of rate changes in renewal processes with varying variance
• Multi-scale detection of rate changes in spike trains with weak dependencies
• The multiple filter test for change point detection in time series
• Multiscale Change-Point Analysis of Inhomogeneous Poisson Processes Using Unbalanced Wavelet Decompositions
• The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points

zbMATH Keywords

point processchangepoint detectionmultiscalespike trainfiltered derivativechange in variancechange in rate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Non-Markovian processes: hypothesis testing (62M07) Renewal theory (60K05)

Cited In (5)

• The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points
• A multiple filter test for the detection of rate changes in renewal processes with varying variance
• The multiple filter test for change point detection in time series
• Recurrence statistics for anomalous diffusion regime change detection
• Detecting changes in a multivariate renewal process

This page was built for publication: Multi-scale detection of variance changes in renewal processes in the presence of rate change points

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4596437)