Optimal nonparametric change point analysis
type: Item
instance of: scholarly article
published in: Electronic Journal of Statistics
volume: 15
issue: 1
publication date: 2021-01-01T00:00:00Z
publication date: 2021-08-09T00:00:00Z
author: Oscar Hernan Madrid Padilla
author: Yi Yu
author: Daren Wang
author: Alessandro Rinaldo
author: Oscar-Hernan Madrid-Padilla
title: Optimal nonparametric change point analysis
zbMATH Open document ID: 1479.62076
review text: Assume a sequence of data collected at \(T\) timepoints and at each time \(t\) there are multiple observations generated from a common distribution \(F_t\). This paper considers a problem of detecting timepoints when there is a change in the distribution function without a parametric assumption on the distribution. A Kolmogorov-Smirnov detector procedure based on CUSUM Kolmogorov-Smirnov statistic is proposed, which is shown to be consistent and optimal. Practical issues, such as selection of tuning parameters in the definition of the procedure, are also considered. Simulation studies are also performed to assess the performance of the proposed method and in relation to other competing methods. Potential advantage of the proposed method is also demonstrated through the application to a micro-array dataset.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62G05
zbMATH DE Number: 7379670
zbMATH Keywords: nonparametric change point analysis
zbMATH Keywords: Kolmogorov-Smirnov statistic
zbMATH Keywords: CUSUM
zbMATH Keywords: minimax optimality
zbMATH Keywords: phase transition
reviewed by: Dongsheng Tu
describes a project that uses: wbs
describes a project that uses: stepR
describes a project that uses: ecp
describes a project that uses: KernSeg
describes a project that uses: R
describes a project that uses: strucchange
describes a project that uses: Segmentor3IsBack
describes a project that uses: changepoint
describes a project that uses: not
describes a project that uses: HSMUCE
MaRDI profile type: Publication
cites work: A Kernel Multiple Change-point Algorithm via Model Selection
cites work: Break detection in the covariance structure of multivariate time series models
cites work: Change-point detection in high-dimensional covariance structure
cites work: Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
cites work: Nonparametric estimation in a two change-point model
cites work: Nonparametric change-point estimation
cites work: New efficient algorithms for multiple change-point detection with reproducing kernels
cites work: Group LASSO for Structural Break Time Series
cites work: Change-point detection in panel data via double CUSUM statistic
cites work: Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
cites work: Q4494130
cites work: A MOSUM procedure for the estimation of multiple random change points
cites work: Changepoint Detection in the Presence of Outliers
cites work: A sticky HDP-HMM with application to speaker diarization
cites work: Multiscale Change Point Inference
cites work: Wild binary segmentation for multiple change-point detection
cites work: Consistent change-point detection with kernels
cites work: A computationally efficient nonparametric approach for changepoint detection
cites work: Optimal Detection of Changepoints With a Linear Computational Cost
cites work: Scan B-statistic for kernel change-point detection
cites work: Change-point detection in time-series data by relative density-ratio estimation
cites work: Global spectral clustering in dynamic networks
cites work: A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
cites work: Sequential Nonparametric Tests for a Change in Distribution: An Application to Detecting Radiological Anomalies
cites work: Heterogeneous Change Point Inference
cites work: Detection of Multiple Structural Breaks in Multivariate Time Series
cites work: DISCO analysis: A nonparametric extension of analysis of variance
cites work: On the Total Variation and Hellinger Distance Between Signed Measures; an Application to Product Measures
cites work: Introduction to nonparametric estimation
cites work: Sequential Tests of Statistical Hypotheses
cites work: High Dimensional Change Point Estimation via Sparse Projection
cites work: Univariate mean change point detection: penalization, CUSUM and optimality
cites work: Optimal covariance change point localization in high dimensions
cites work: Estimating the number of change-points via Schwarz' criterion
cites work: Q3497042
cites work: Q3033120
cites work: Q4356002
cites work: Nonparametric maximum likelihood approach to multiple change-point problems
full work available at URL: 21-ejs1809
OpenAlex ID: W3135915140
DOI: 10.1214/21-EJS1809