arXiv subjects

Rex C. Y. Cheung

Publications and source records attributed to Rex C. Y. Cheung.

3 recordsLinked to original sources

arXiv2020

Simultaneous Detection of Multiple Change Points and Community Structures in Time Series of Networks

In many complex systems, networks and graphs arise in a natural manner. Often, time evolving behavior can be easily found and modeled using time-series methodology. Amongst others, two common research problems in network analysis are community detection and change-point detection. Community detection aims at finding specific sub-structures within the networks, and change-point detection tries to find the time points at which sub-structures change. We propose a novel methodology to detect both community structures and change points simultaneously based on a model selection framework in which the Minimum Description Length Principle (MDL) is utilized as minimizing objective criterion. The promising practical performance of the proposed method is illustrated via a series of numerical experiments and real data analysis.

cs.SI↗

arXiv2016

Piecewise quantile autoregressive modeling for nonstationary time series

We develop a new methodology for the fitting of nonstationary time series that exhibit nonlinearity, asymmetry, local persistence and changes in location scale and shape of the underlying distribution. In order to achieve this goal, we perform model selection in the class of piecewise stationary quantile autoregressive processes. The best model is defined in terms of minimizing a minimum description length criterion derived from an asymmetric Laplace likelihood. Its practical minimization is done with the use of genetic algorithms. If the data generating process follows indeed a piecewise quantile autoregression structure, we show that our method is consistent for estimating the break points and the autoregressive parameters. Empirical work suggests that the proposed method performs well in finite samples.

math.ST↗

arXiv2016

Consistent Estimation for Partition-wise Regression and Classification Models

Partition-wise models offer a flexible approach for modeling complex and multidimensional data that are capable of producing interpretable results. They are based on partitioning the observed data into regions, each of which is modeled with a simple submodel. The success of this approach highly depends on the quality of the partition, as too large a region could lead to a non-simple submodel, while too small a region could inflate estimation variance. This paper proposes an automatic procedure for choosing the partition (i.e., the number of regions and the boundaries between regions) as well as the submodels for the regions. It is shown that, under the assumption of the existence of a true partition, the proposed partition estimator is statistically consistent. The methodology is demonstrated for both regression and classification problems.

stat.ME↗