Changepoint Detection in the Presence of Outliers
From MaRDI portal
Publication:5229902
Abstract: Many traditional methods for identifying changepoints can struggle in the presence of outliers, or when the noise is heavy-tailed. Often they will infer additional changepoints in order to fit the outliers. To overcome this problem, data often needs to be pre-processed to remove outliers, though this is difficult for applications where the data needs to be analysed online. We present an approach to changepoint detection that is robust to the presence of outliers. The idea is to adapt existing penalised cost approaches for detecting changes so that they use loss functions that are less sensitive to outliers. We argue that loss functions that are bounded, such as the classical biweight loss, are particularly suitable -- as we show that only bounded loss functions are robust to arbitrarily extreme outliers. We present an efficient dynamic programming algorithm that can find the optimal segmentation under our penalised cost criteria. Importantly, this algorithm can be used in settings where the data needs to be analysed online. We show that we can consistently estimate the number of changepoints, and accurately estimate their locations, using the biweight loss function. We demonstrate the usefulness of our approach for applications such as analysing well-log data, detecting copy number variation, and detecting tampering of wireless devices.
Recommendations
- scientific article; zbMATH DE number 1916873
- A robust changepoint detection method
- Detecting change-points in extremes
- Change Point Detection in a General Class of Distributions
- Detection of change points: a survey of methodologies
- Changepoint detection in non-exchangeable data
- Outlier-resistant algorithms for detecting a change in a stochastic process
Cites work
- scientific article; zbMATH DE number 4169866 (Why is no real title available?)
- A computationally efficient nonparametric approach for changepoint detection
- A pairwise likelihood-based approach for changepoint detection in multivariate time series models
- A pruned dynamic programming algorithm to recover the best segmentations with 1 to \(K_{\max}\) change-points
- An exact approach to Bayesian sequential change point detection
- Approximate simulation-free Bayesian inference for multiple changepoint models with dependence within segments
- Bootstrap in detection of changes in linear regression
- CONTINUOUS INSPECTION SCHEMES
- Changepoint estimation: another look at multiple testing problems
- Circular binary segmentation for the analysis of array-based DNA copy number data
- Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
- Inference about the change-point from cumulative sum tests
- International encyclopedia of statistical science.
- Least-squares estimation of an unknown number of shifts in a time series
- M-procedures for detection of changes for dependent observations
- Multiscale change point inference. With discussion and authors' reply
- Numerical Bayesian Methods Applied to Signal Processing
- On optimal multiple changepoint algorithms for large data
- On the Likelihood Ratio Test for a Shift in Location of Normal Populations
- Optimal detection of changepoints with a linear computational cost
- Wild binary segmentation for multiple change-point detection
Cited in
(35)- scientific article; zbMATH DE number 2147392 (Why is no real title available?)
- Most Recent Changepoint Detection in Panel Data
- Multipartition model for multiple change point identification
- Bayesian multiple changepoint detection with missing data and its application to the magnitude-frequency distributions
- Scalable multiple changepoint detection for functional data sequences
- Graphical Influence Diagnostics for Changepoint Models
- Multiscale Quantile Segmentation
- Parallelization of a Common Changepoint Detection Method
- Sequential change point test in the presence of outliers: the density power divergence based approach
- Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation
- Consistency of a range of penalised cost approaches for detecting multiple changepoints
- Loss function-based change point detection in risk measures
- Alternating Pruned Dynamic Programming for Multiple Epidemic Change-Point Estimation
- Subset Multivariate Collective and Point Anomaly Detection
- Cross-validation for change-point regression: pitfalls and solutions
- Sequential change-point detection: computation versus statistical performance
- Bayesian Change Point Detection with Spike-and-Slab Priors
- Monitoring procedures for strict stationarity based on the multivariate characteristic function
- Detecting changes in the transmission rate of a stochastic epidemic model
- Robust algorithms for multiphase regression models
- Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring
- Is a finite intersection of balls covered by a finite union of balls in Euclidean spaces?
- Localising change points in piecewise polynomials of general degrees
- Optimal nonparametric change point analysis
- Relating and comparing methods for detecting changes in mean
- BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES
- Multiple change-point detection for regression curves
- On optimal segmentation and parameter tuning for multiple change-point detection and inference
- A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes
- Changepoint detection in non-exchangeable data
- Most recent changepoint detection in censored panel data
- Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise
- Robust change detection for large-scale data streams
- Real Time Anomaly Detection And Categorisation
- Rank-based multiple change-point detection
This page was built for publication: Changepoint Detection in the Presence of Outliers
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5229902)
