Related papers: Power of Change-Point Tests for Long-Range Depende…
While there is considerable work on change point analysis in univariate time series, more and more data being collected comes from high dimensional multivariate settings. This paper introduces the asymptotic concept of high dimensional…
We propose a new, computationally efficient, sparsity adaptive changepoint estimator for detecting changes in unknown subsets of a high-dimensional data sequence. Assuming the data sequence is Gaussian, we prove that the new method…
We introduce a new test for conditional independence which is based on what we call the weighted generalised covariance measure (WGCM). It is an extension of the recently introduced generalised covariance measure (GCM). To test the null…
We study the problem of identifying change points in high-dimensional generalized linear models, and propose an approach based on sample-weighted empirical risk minimization. Our method, Weighted ERM, encodes priors on the change points via…
Many experiments record sequential trajectories where each trajectory consists of oscillations and fluctuations around zero. Such trajectories can be viewed as zero-mean functional data. When there are structural breaks (on the sequence of…
The research described herewith investigates detecting change points of means and of variances in a sequence of observations. The number of change points can be divergent at certain rate as the sample size goes to infinity. We define a…
We consider the detection and localization of change points in the distribution of an offline sequence of observations. Based on a nonparametric framework that uses a similarity graph among observations, we propose new test statistics when…
In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change…
Relative efficiency (RE), the Pitman asymptotic relative efficiency (ARE) and efficacy are important relative performance measures of signal detection techniques. These measures allow comparing two detectors in terms of the relative sample…
This paper considers the problem of comparing two processes with panel data. A nonparametric test is proposed for detecting a monotone change in the link between the two process distributions. The test statistic is of CUSUM type, based on…
We develop a general method for power spectrum analysis of three dimensional redshift surveys. We present rigorous analytical estimates for the statistical uncertainty in the power and we are able to derive a rigorous optimal weighting…
We propose a new method for changepoint estimation in partially-observed, high-dimensional time series that undergo a simultaneous change in mean in a sparse subset of coordinates. Our first methodological contribution is to introduce a…
We consider a change-point test based on the Hill estimator to test for structural changes in the tail index of Long Memory Stochastic Volatility time series. In order to determine the asymptotic distribution of the corresponding test…
Many modern applications of online changepoint detection require the ability to process high-frequency observations, sometimes with limited available computational resources. Online algorithms for detecting a change in mean often involve…
We study the sensitivity to noise of |permanent(X)|^2 for random real and complex n x n Gaussian matrices X, and show that asymptotically the correlation between the noisy and noiseless outcomes tends to zero when the noise level is…
Considered here is a hypothesis test for the coefficients in the change-plane regression models to detect the existence of a change plane. The test that is considered is from the class of test problems in which some parameters are not…
The paper is about detecting changes in the parameters of certain parameterized stochastic models. We apply CUSUM (Cumulated Sums) type test statistics that are based on martingale difference sequences.
In this paper, we propose an new the CUSUM sequential test (control chart, stopping time) with the observation-adjusted control limits (CUSUM-OAL) for monitoring quickly and adaptively the change in distribution of a sequential…
An energy efficient distributed Change Detection scheme based on Page's CUSUM algorithm was presented in \cite{icassp}. In this paper we consider a nonparametric version of this algorithm. In the algorithm in \cite{icassp}, each sensor runs…
This paper provides a nonparametric test for the identity of two multivariate continuous distribution functions (d.f.'s) when they differ in locations. The test uses Wilcoxon rank-sum statistics on distances between observations for each of…