Change Point Detection in the Mean of High-Dimensional Time Series Data under Dependence

03/17/2019
by   Jun Li, et al.
0

High-dimensional time series are characterized by a large number of measurements and complex dependence, and often involve abrupt change points. We propose a new procedure to detect change points in the mean of high-dimensional time series data. The proposed procedure incorporates spatial and temporal dependence of data and is able to test and estimate the change point occurred on the boundary of time series. We study its asymptotic properties under mild conditions. Simulation studies demonstrate its robust performance through the comparison with other existing methods. Our procedure is applied to an fMRI dataset.

READ FULL TEXT
research
07/22/2019

Factor Analysis for High-Dimensional Time Series with Change Point

We consider change-point latent factor models for high-dimensional time ...
research
05/31/2020

Sequential change point detection in high dimensional time series

Change point detection in high dimensional data has found considerable i...
research
07/22/2020

Shape-CD: Change-Point Detection in Time-Series Data with Shapes and Neurons

Change-point detection in a time series aims to discover the time points...
research
01/18/2022

WATCH: Wasserstein Change Point Detection for High-Dimensional Time Series Data

Detecting relevant changes in dynamic time series data in a timely manne...
research
05/12/2023

Nonparametric data segmentation in multivariate time series via joint characteristic functions

Modern time series data often exhibit complex dependence and structural ...
research
11/18/2019

Online Change-Point Detection in High-Dimensional Covariance Structure with Application to Dynamic Networks

One important task in online data analysis is detecting network change, ...
research
08/11/2023

Change Point Detection With Conceptors

Offline change point detection seeks to identify points in a time series...

Please sign up or login with your details

Forgot password? Click here to reset