OPTIMAL CHANGE POINT DETECTION AND LOCALIZATION IN SPARSE DYNAMIC NETWORKS

• 成果类型: Article
• 署名作者: Wang, Daren; Yu, Yi; Rinaldo, Alessandro
• 署名单位: University of Chicago; University of Warwick; Carnegie Mellon University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/20-AOS1953
• 发表日期: 2021
• 页码: 203-232
• 关键词: time-series; stochastic blockmodels; models; Cusum

摘要

We study the problem of change point localization in dynamic networks models. We assume that we observe a sequence of independent adjacency matrices of the same size, each corresponding to a realization of an unknown inhomogeneous Bernoulli model. The underlying distribution of the adjacency matrices are piecewise constant, and may change over a subset of the time points, called change points. We are concerned with recovering the unknown number and positions of the change points. In our model setting, we allow for all the model parameters to change with the total number of time points, including the network size, the minimal spacing between consecutive change points, the magnitude of the smallest change and the degree of sparsity of the networks. We first identify a region of impossibility in the space of the model parameters such that no change point estimator is provably consistent if the data are generated according to parameters falling in that region. We propose a computationally-simple algorithm for network change point localization, called network binary segmentation, that relies on weighted averages of the adjacency matrices. We show that network binary segmentation is consistent over a range of the model parameters that nearly cover the complement of the impossibility region, thus demonstrating the existence of a phase transition for the problem at hand. Next, we devise a more sophisticated algorithm based on singular value thresholding, called local refinement, that delivers more accurate estimates of the change point locations. Under appropriate conditions, local refinement guarantees a minimax optimal rate for network change point localization while remaining computationally feasible.