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arXiv · 1710.07420

Intelligent sampling for multiple change-points in exceedingly long time series with rate guarantees

Zhiyuan Lu·Moulinath Banerjee·George Michailidis
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Abstract

Change point estimation in its offline version is traditionally performed by optimizing over the data set of interest, by considering each data point as the true location parameter and computing a data fit criterion. Subsequently, the data point that minimizes the criterion is declared as the change point estimate. For estimating multiple change points, the procedures are analogous in spirit, but significantly more involved in execution. Since change-points are local discontinuities, only data points close to the actual change point provide useful information for estimation, while data points far away are superfluous, to the point where using only a few points close to the true parameter is just as precise as using the full data set. Leveraging this "locality principle", we introduce a two-stage procedure for the problem at hand, which in the 1st stage uses a sparse subsample to obtain pilot estimates of the underlying change points, and in the 2nd stage refines these estimates by sampling densely in appropriately defined neighborhoods around them. We establish that this method achieves the same rate of convergence and even virtually the same asymptotic distribution as the analysis of the full data, while reducing computational complexity to O(N^0.5) time (N being the length of data set), as opposed to at least O(N) time for all current procedures, making it promising for the analysis on exceedingly long data sets with adequately spaced out change points. The main results are established under a signal plus noise model with independent and identically distributed error terms, but extensions to dependent data settings, as well as multiple stage (>2) procedures are also provided. The performance of our procedure -- which is coined "intelligent sampling" -- is illustrated on both synthetic and real Internet data streams.

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Zhiyuan Lu, Moulinath Banerjee, George Michailidis. 2020-04-09. Intelligent sampling for multiple change-points in exceedingly long time series with rate guarantees. https://arxiv.org/abs/1710.07420

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