Asymptotic distribution-free changepoint detection for data with repeated observations

• 成果类型: Article
• 署名作者: Song, Hoseung; Chen, Hao
• 署名单位: University of California System; University of California Davis
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asab048
• 发表日期: 2022
• 页码: 783798
• 关键词: change-point detection; binary segmentation; MULTIVARIATE; number

摘要

A nonparametric framework for changepoint detection, based on scan statistics utilizing graphs that represent similarities among observations, is gaining attention owing to its flexibility and good performance for high-dimensional and non-Euclidean data sequences. However, this graph-based framework faces challenges when there are repeated observations in the sequence, which is often the case for discrete data such as network data. In this article we extend the graph-based framework to solve this problem by averaging or taking the union of all possible optimal graphs resulting from repeated observations. We consider both the single-changepoint alternative and the changed-interval alternative, and derive analytical formulas to control the Type I error for the new methods, making them readily applicable to large datasets. The extended methods are illustrated on an application in detecting changes in a sequence of dynamic networks over time. All proposed methods are implemented in an R package gSeg available on CRAN.