Multivariate Time Series Change-Point Detection with a Novel Pearson-like Scaled Bregman Divergence

Tong Si (), Yunge Wang, Lingling Zhang, Evan Richmond, Tae-Hyuk Ahn and Haijun Gong ()
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Tong Si: Department of Mathematics and Statistics, Saint Louis University, St. Louis, MO 63103, USA
Yunge Wang: Department of Mathematics and Statistics, Saint Louis University, St. Louis, MO 63103, USA
Lingling Zhang: Department of Mathematics and Statistics, University at Albany SUNY, Albany, NY 12222, USA
Evan Richmond: Department of Mathematics and Statistics, Saint Louis University, St. Louis, MO 63103, USA
Tae-Hyuk Ahn: Department of Computer Science, Saint Louis University, St. Louis, MO 63103, USA
Haijun Gong: Department of Mathematics and Statistics, Saint Louis University, St. Louis, MO 63103, USA

Stats, 2024, vol. 7, issue 2, 1-19

Abstract: Change-point detection is a challenging problem that has a number of applications across various real-world domains. The primary objective of CPD is to identify specific time points where the underlying system undergoes transitions between different states, each characterized by its distinct data distribution. Precise identification of change points in time series omics data can provide insights into the dynamic and temporal characteristics inherent to complex biological systems. Many change-point detection methods have traditionally focused on the direct estimation of data distributions. However, these approaches become unrealistic in high-dimensional data analysis. Density ratio methods have emerged as promising approaches for change-point detection since estimating density ratios is easier than directly estimating individual densities. Nevertheless, the divergence measures used in these methods may suffer from numerical instability during computation. Additionally, the most popular α -relative Pearson divergence cannot measure the dissimilarity between two distributions of data but a mixture of distributions. To overcome the limitations of existing density ratio-based methods, we propose a novel approach called the Pearson-like scaled-Bregman divergence-based (PLsBD) density ratio estimation method for change-point detection. Our theoretical studies derive an analytical expression for the Pearson-like scaled Bregman divergence using a mixture measure. We integrate the PLsBD with a kernel regression model and apply a random sampling strategy to identify change points in both synthetic data and real-world high-dimensional genomics data of Drosophila. Our PLsBD method demonstrates superior performance compared to many other change-point detection methods.

Keywords: change-point detection; time-series data analysis; density ratio estimation; scaled Bregman divergence; random sampling (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2024
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