Optimal covariance change point localization in high dimensions
type: Item
instance of: scholarly article
published in: Bernoulli
volume: 27
issue: 1
publication date: 2021-02-01T00:00:00Z
publication date: 2020-12-07T00:00:00Z
author: Daren Wang
author: Yi Yu
author: Alessandro Rinaldo
title: Optimal covariance change point localization in high dimensions
zbMATH Open document ID: 1479.62077
full work available at URL: https://arxiv.org/abs/1712.09912
full work available at URL: https://projecteuclid.org/euclid.bj/1605841255
review text: Statistical change point analysis is concerned with identifying abrupt changes in the data that are due to actual changes in the underlying distribution. One of the main goals in the analysis is the estimation of the localization (i.e. positions of the change points). The paper under review studies the problem of change point localization in a time series of length \(n\) of independent \(p\)-dimensional random vectors with covariance matrices that are piecewise constant, and only change at unknown times. Here all the parameters quantifying the difficulty of the problem (namely the dimension \(p\), the minimal spacing, the minimal jump size, and the sub-Gaussian variance factor) change with the sample size \(n\). The authors review related literature and then propose and analyze two algorithms for covariance change point localization. Under suitable conditions it is proved that both algorithms can consistently estimate the change points. As to localization rate, the first algorithm is sub-optimal (that exhibits an unfavorable dependence on the dimension \(p\)), while the second algorithm (under a set of different and milder assumptions) yields almost minimax rate-optima. As a phase transition effect over the space of the model parameters demonstrates, ``it delivers optimal performance over nearly all scalings, for which consistent localization is possible''.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62G20
zbMATH DE Number: 7282861
zbMATH Keywords: binary segmentation
zbMATH Keywords: change point detection
zbMATH Keywords: high-dimensional covariance testing
zbMATH Keywords: independent projection
zbMATH Keywords: minimax optimal
zbMATH Keywords: wild binary segmentation
reviewed by: Joseph Melamed
describes a project that uses: factorcpt
describes a project that uses: wbs
MaRDI profile type: MaRDI publication profile
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OpenAlex ID: W3110221193
DOI: 10.3150/20-BEJ1249
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author name string: Daren Wang
author name string: Yi Yu
author name string: Alessandro Rinaldo
description: scientific article; zbMATH DE number 7282861