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arXiv · 2209.14995

Non-segmental Bayesian Detection of Multiple Change-points

Chong Zhong·Zhihua Ma·Xu Zhang·Catherine C. Liu
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Abstract

We propose an original and general NOn-SEgmental (NOSE) approach for the detection of multiple change-points. NOSE identifies change-points by the non-negligibility of posterior estimates of the jump heights. Alternatively, under the Bayesian paradigm, NOSE treats the step-wise signal as a global infinite dimensional parameter drawn from a proposed process of atomic representation, where the random jump heights determine the locations and the number of change-points simultaneously. The random jump heights are further modeled by a Gamma-Indian buffet process shrinkage prior under the form of discrete spike-and-slab. The induced maximum a posteriori estimates of the jump heights are consistent and enjoy zerodiminishing false negative rate in discrimination under a 3-sigma rule. The success of NOSE is guaranteed by the posterior inferential results such as the minimaxity of posterior contraction rate, and posterior consistency of both locations and the number of abrupt changes. NOSE is applicable and effective to detect scale shifts, mean shifts, and structural changes in regression coefficients under linear or autoregression models. Comprehensive simulations and several real-world examples demonstrate the superiority of NOSE in detecting abrupt changes under various data settings.

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Chong Zhong, Zhihua Ma, Xu Zhang, Catherine C. Liu. 2022-09-29. Non-segmental Bayesian Detection of Multiple Change-points. https://arxiv.org/abs/2209.14995

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