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Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise

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Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise. / Romano, Gaetano; Rigaill, Guillem; Runge, Vincent et al.
In: Journal of the American Statistical Association, Vol. 117, No. 540, 31.12.2022, p. 2147-2162.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Romano G, Rigaill G, Runge V, Fearnhead P. Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise. Journal of the American Statistical Association. 2022 Dec 31;117(540):2147-2162. Epub 2021 May 18. doi: 10.1080/01621459.2021.1909598

Author

Romano, Gaetano ; Rigaill, Guillem ; Runge, Vincent et al. / Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise. In: Journal of the American Statistical Association. 2022 ; Vol. 117, No. 540. pp. 2147-2162.

Bibtex

@article{a253203a19a542c5a03706781e1162c8,
title = "Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise",
abstract = " Whilst there are a plethora of algorithms for detecting changes in mean in univariate time-series, almost all struggle in real applications where there is autocorrelated noise or where the mean fluctuates locally between the abrupt changes that one wishes to detect. In these cases, default implementations, which are often based on assumptions of a constant mean between changes and independent noise, can lead to substantial over-estimation of the number of changes. We propose a principled approach to detect such abrupt changes that models local fluctuations as a random walk process and autocorrelated noise via an AR(1) process. We then estimate the number and location of changepoints by minimising a penalised cost based on this model. We develop a novel and efficient dynamic programming algorithm, DeCAFS, that can solve this minimisation problem; despite the additional challenge of dependence across segments, due to the autocorrelated noise, which makes existing algorithms inapplicable. Theory and empirical results show that our approach has greater power at detecting abrupt changes than existing approaches. We apply our method to measuring gene expression levels in bacteria. ",
keywords = "stat.ME, stat.AP, stat.CO",
author = "Gaetano Romano and Guillem Rigaill and Vincent Runge and Paul Fearnhead",
year = "2022",
month = dec,
day = "31",
doi = "10.1080/01621459.2021.1909598",
language = "English",
volume = "117",
pages = "2147--2162",
journal = "Journal of the American Statistical Association",
issn = "0162-1459",
publisher = "Taylor and Francis Ltd.",
number = "540",

}

RIS

TY - JOUR

T1 - Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise

AU - Romano, Gaetano

AU - Rigaill, Guillem

AU - Runge, Vincent

AU - Fearnhead, Paul

PY - 2022/12/31

Y1 - 2022/12/31

N2 - Whilst there are a plethora of algorithms for detecting changes in mean in univariate time-series, almost all struggle in real applications where there is autocorrelated noise or where the mean fluctuates locally between the abrupt changes that one wishes to detect. In these cases, default implementations, which are often based on assumptions of a constant mean between changes and independent noise, can lead to substantial over-estimation of the number of changes. We propose a principled approach to detect such abrupt changes that models local fluctuations as a random walk process and autocorrelated noise via an AR(1) process. We then estimate the number and location of changepoints by minimising a penalised cost based on this model. We develop a novel and efficient dynamic programming algorithm, DeCAFS, that can solve this minimisation problem; despite the additional challenge of dependence across segments, due to the autocorrelated noise, which makes existing algorithms inapplicable. Theory and empirical results show that our approach has greater power at detecting abrupt changes than existing approaches. We apply our method to measuring gene expression levels in bacteria.

AB - Whilst there are a plethora of algorithms for detecting changes in mean in univariate time-series, almost all struggle in real applications where there is autocorrelated noise or where the mean fluctuates locally between the abrupt changes that one wishes to detect. In these cases, default implementations, which are often based on assumptions of a constant mean between changes and independent noise, can lead to substantial over-estimation of the number of changes. We propose a principled approach to detect such abrupt changes that models local fluctuations as a random walk process and autocorrelated noise via an AR(1) process. We then estimate the number and location of changepoints by minimising a penalised cost based on this model. We develop a novel and efficient dynamic programming algorithm, DeCAFS, that can solve this minimisation problem; despite the additional challenge of dependence across segments, due to the autocorrelated noise, which makes existing algorithms inapplicable. Theory and empirical results show that our approach has greater power at detecting abrupt changes than existing approaches. We apply our method to measuring gene expression levels in bacteria.

KW - stat.ME

KW - stat.AP

KW - stat.CO

U2 - 10.1080/01621459.2021.1909598

DO - 10.1080/01621459.2021.1909598

M3 - Journal article

VL - 117

SP - 2147

EP - 2162

JO - Journal of the American Statistical Association

JF - Journal of the American Statistical Association

SN - 0162-1459

IS - 540

ER -