Consistency of a range of penalised cost approaches for detecting multiple changepoints
Consistency of a range of penalised cost approaches for detecting multiple changepoints
A common approach to detect multiple changepoints is to minimise a measure of data fit plus a penalty that is linear in the number of changepoints. This paper shows that the general finite sample behaviour of such a method can be related to its behaviour when analysing data with either none or one changepoint. This property results in simpler conditions for verifying whether the method will consistently estimate the number and locations of the changepoints. We apply and demonstrate the usefulness of these simple conditions for a range of changepoint problems. Our new results include a weaker requirement on the choice of penalty to have consistency in a change-in-slope model; and the first results for the accuracy of recently-proposed methods for detecting spikes.
Change-point detection„ consistency, changes in slope, local region condition, spike plus exponential decay
4497-4546
Zheng, Chao
f3e2a919-4c02-4f5a-8de6-4c4de8ab6b60
Eckley, Idris
994abd39-ec11-4ebc-a3df-1be7a1371229
Fearnhead, Paul
9f23375d-e810-442f-88c9-494d4e975a47
30 August 2022
Zheng, Chao
f3e2a919-4c02-4f5a-8de6-4c4de8ab6b60
Eckley, Idris
994abd39-ec11-4ebc-a3df-1be7a1371229
Fearnhead, Paul
9f23375d-e810-442f-88c9-494d4e975a47
Zheng, Chao, Eckley, Idris and Fearnhead, Paul
(2022)
Consistency of a range of penalised cost approaches for detecting multiple changepoints.
Electronic Journal of Statistics, 16 (2), .
(doi:10.1214/22-EJS2048).
Abstract
A common approach to detect multiple changepoints is to minimise a measure of data fit plus a penalty that is linear in the number of changepoints. This paper shows that the general finite sample behaviour of such a method can be related to its behaviour when analysing data with either none or one changepoint. This property results in simpler conditions for verifying whether the method will consistently estimate the number and locations of the changepoints. We apply and demonstrate the usefulness of these simple conditions for a range of changepoint problems. Our new results include a weaker requirement on the choice of penalty to have consistency in a change-in-slope model; and the first results for the accuracy of recently-proposed methods for detecting spikes.
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22-EJS2048
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e-pub ahead of print date: 30 August 2022
Published date: 30 August 2022
Additional Information:
Funding Information:
arXiv: 1911.01716 ∗The authors acknowledge the financial support of the EPSRC and Lancaster University via grant EP/N031938/1.
Publisher Copyright:
© 2022, Institute of Mathematical Statistics. All rights reserved.
Keywords:
Change-point detection„ consistency, changes in slope, local region condition, spike plus exponential decay
Identifiers
Local EPrints ID: 471409
URI: http://eprints.soton.ac.uk/id/eprint/471409
ISSN: 1935-7524
PURE UUID: 7cc06f0f-bf2f-4efa-9673-d1289cdfa981
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Date deposited: 07 Nov 2022 18:57
Last modified: 17 Mar 2024 04:02
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Author:
Idris Eckley
Author:
Paul Fearnhead
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