Related papers: Testing exchangeability with martingale for change…
The exchange algorithm is one of the most popular extensions of the Metropolis--Hastings algorithm to sample from doubly-intractable distributions. However, the theoretical exploration of the exchange algorithm is very limited. For example,…
Many time series exhibit changes both in level and in variability. Generally, it is more important to detect a change in the level, and changing or smoothly evolving variability can confound existing tests. This paper develops a framework…
Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific…
In data-based control, dissipativity can be a powerful tool for attaining stability guarantees for nonlinear systems if that dissipativity can be inferred from data. This work provides a tutorial on several existing methods for data-based…
Estimation of mean shift in a temporally ordered sequence of random variables with a possible existence of change-point is an important problem in many disciplines. In the available literature of more than fifty years the estimation methods…
We model stochastic choice as environment-dependent switching among a small library of deterministic decision rules. A Random Rule Model generates menu-level choice probabilities via named, interpretable rules weighted by observable menu…
This paper is concerned with the detection of multiple change-points in the joint distribution of independent categorical variables. The procedures introduced rely on model selection and are based on a penalized least-squares criterion.…
We propose a continuous version of the classical Gale--Berlekamp switching game. We also study a weighted version of this new continuous game. The main results of this paper concern growth estimates for the corresponding optimization…
We introduce a general framework for de Finetti reduction results, applicable to various notions of partially exchangeable probability distributions. Explicit statements are derived for the cases of exchangeability, Markov exchangeability,…
We propose a sequential test for detecting arbitrary distribution shifts that allows conformal test martingales (CTMs) to work under a fixed, reference-conditional setting. Existing CTM detectors construct test martingales by continually…
We adopt the interpretability offered by a parametric, Hawkes-process-inspired conditional probability mass function for the marks and apply variational inference techniques to derive a general and scalable inferential framework for marked…
This paper develops a novel change point identification method for high-dimensional data using random projections. By projecting high-dimensional time series into a one-dimensional space, we are able to leverage the rich literature for…
The concept of conditional expectation is important in applications of probability and statistics in many areas such as reliability engineering, economy, finance, and actuarial sciences due to its property of being the best predictor of a…
We present a tractable framework for detecting changes in performance metrics and apply these methods to Major League Baseball (MLB) batting and pitching data from the 2023 and 2024 seasons. We propose a changepoint detection algorithm that…
Change point analyses are concerned with identifying positions of an ordered stochastic process that undergo abrupt local changes of some underlying distribution. When multiple processes are observed, it is often the case that information…
Given a random sample from a random variable $T$ which is bounded from above, $T\le\tau$ a.s., we define processes that are positive supermartingales if $E(T)\ge\mu$. Such processes are called test martingales. Tests of the supermartingale…
We develop a new tool for data-dependent analysis of the exploration-exploitation trade-off in learning under limited feedback. Our tool is based on two main ingredients. The first ingredient is a new concentration inequality that makes it…
We study the variation of exchangeable graph-valued process ${\bf \Gamma}$ and its graph limit. We used a constructive method using localization technique. Our method provides a specific estimation of variation for exchangeable graph-valued…
This work is driven by the ubiquitous dissent over the abilities and contributions of the Metropolis-Hastings and reversible jump algorithm within the context of trans dimensional sampling. We demystify this topic by taking a deeper look…
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…