Related papers: Finite sample change point inference and identific…
We consider the offline change point detection and localization problem in the context of piecewise stationary networks, where the observable is a finite sequence of networks. We develop algorithms involving some suitably modified CUSUM…
We study the problem of change point detection for covariance matrices in high dimensions. We assume that we observe a sequence {X_i}_{i=1,...,n} of independent and centered p-dimensional sub-Gaussian random vectors whose covariance…
The aim of this paper is to develop a change-point test for functional time series that uses the full functional information and is less sensitive to outliers compared to the classical CUSUM test. For this aim, the Wilcoxon two-sample test…
High-dimensional changepoint inference that adapts to various change patterns has received much attention recently. We propose a simple, fast yet effective approach for adaptive changepoint testing. The key observation is that two…
Universal compression algorithms have been studied in the past for sequential change detection, where they have been used to estimate the post-change distribution in the modified version of the Cumulative Sum (CUSUM) Test. In this paper, we…
The Bonferroni adjustment, or the union bound, is commonly used to study rate optimality properties of statistical methods in high-dimensional problems. However, in practice, the Bonferroni adjustment is overly conservative. The extreme…
In recent years, there has been an increasing demand on efficient algorithms for large scale change point detection problems. To this end, we propose seeded binary segmentation, an approach relying on a deterministic construction of…
We study mean change point testing problems for high-dimensional data, with exponentially- or polynomially-decaying tails. In each case, depending on the $\ell_0$-norm of the mean change vector, we separately consider dense and sparse…
In the statistical inference for long range dependent time series the shape of the limit distribution typically depends on unknown parameters. Therefore, we propose to use subsampling. We show the validity of subsampling for general…
In this paper we consider change-points in multiple sequences with the objective of minimizing the estimation error of a sequence by making use of information from other sequences. This is in contrast to recent interest on change-points in…
Motivated by statistical inference problems in high-dimensional time series data analysis, we first derive non-asymptotic error bounds for Gaussian approximations of sums of high-dimensional dependent random vectors on hyper-rectangles,…
We develop a new approach for estimating the risk of an arbitrary estimator of the mean vector in the classical normal means problem. The key idea is to generate two auxiliary data vectors, by adding carefully constructed normal noise…
This paper considers the change point detection problem under dependent samples. In particular, we provide performance guarantees for the MMD-CUSUM test under exponentially $\alpha$, $\beta$, and fast $\phi$-mixing processes, which…
This paper investigates the problem of detecting relevant change points in the mean vector, say $\mu_t =(\mu_{1,t},\ldots ,\mu_{d,t})^T$ of a high dimensional time series $(Z_t)_{t\in \mathbb{Z}}$. While the recent literature on testing for…
Change-point detection, detecting an abrupt change in the data distribution from sequential data, is a fundamental problem in statistics and machine learning. CUSUM is a popular statistical method for online change-point detection due to…
We study a CUSUM (cumulative sums) procedure for the detection of changes in the means of weakly dependent time series within an abstract Hilbert space framework. We use an empirical projection approach via a principal component…
Classical change point analysis aims at (1) detecting abrupt changes in the mean of a possibly non-stationary time series and at (2) identifying regions where the mean exhibits a piecewise constant behavior. In many applications however, it…
We study the detection of change-points in time series. The classical CUSUM statistic for detection of jumps in the mean is known to be sensitive to outliers. We thus propose a robust test based on the Wilcoxon two-sample test statistic.…
Inference for functional linear models in the presence of heteroscedastic errors has received insufficient attention given its practical importance; in fact, even a central limit theorem has not been studied in this case. At issue,…
A new bivariate partial sum process for locally stationary time series is introduced and its weak convergence to a Brownian sheet is established. This construction enables the development of a novel self-normalized CUSUM test statistic for…