Sequential change-point detection in high-dimensional Gaussian graphical models

zbMATH Open1499.62194arXiv1806.07870MaRDI QIDQ4969142FDOQ4969142

Authors:

Publication date: 5 October 2020

Abstract: High dimensional piecewise stationary graphical models represent a versatile class for modelling time varying networks arising in diverse application areas, including biology, economics, and social sciences. There has been recent work in offline detection and estimation of regime changes in the topology of sparse graphical models. However, the online setting remains largely unexplored, despite its high relevance to applications in sensor networks and other engineering monitoring systems, as well as financial markets. To that end, this work introduces a novel scalable online algorithm for detecting an unknown number of abrupt changes in the inverse covariance matrix of sparse Gaussian graphical models with small delay. The proposed algorithm is based upon monitoring the conditional log-likelihood of all nodes in the network and can be extended to a large class of continuous and discrete graphical models. We also investigate asymptotic properties of our procedure under certain mild regularity conditions on the graph size, sparsity level, number of samples, and pre- and post-changes in the topology of the network. Numerical works on both synthetic and real data illustrate the good performance of the proposed methodology both in terms of computational and statistical efficiency across numerous experimental settings.

Full work available at URL: https://arxiv.org/abs/1806.07870

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zbMATH Keywords

Gaussian graphical modelspseudolikelihoodasymptotic analysissequential change-point detectionmini-batch update

Mathematics Subject Classification ID

Probabilistic graphical models (62H22) Sequential statistical analysis (62L10) Online algorithms; streaming algorithms (68W27)

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Cited In (12)

• Change point estimation in high dimensional Markov random-field models
• The Bethe Hessian and information theoretic approaches for online change-point detection in network data
• Change-point computation for large graphical models: a scalable algorithm for Gaussian graphical models with change-points
• Consistent multiple changepoint estimation with fused Gaussian graphical models
• Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression
• Large multiple graphical model inference via bootstrap
• A Note on Online Change Point Detection
• A comparative study on sequential detection of random mean change in multivariate normal data stream
• Online change points detection for linear dynamical systems with finite sample guarantees
• Exact Bayesian inference for off-line change-point detection in tree-structured graphical models
• Nonparametric Anomaly Detection on Time Series of Graphs
• A constant-per-iteration likelihood ratio test for online changepoint detection for exponential family models

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