Wild Binary Segmentation for multiple change-point detection

Add to your list(s) Download to your calendar using vCal

• Fryzlewicz, P (London School of Economics)
• Tuesday 14 January 2014, 13:30-14:10
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact Mustapha Amrani.

Inference for Change-Point and Related Processes

We propose a new technique, called Wild Binary Segmentation (WBS), for consistent estimation of the number and locations of multiple change-points in data. We assume that the number of change-points can increase to infinity with the sample size. Due to a certain random localisation mechanism, WBS works even for very short spacings between the change-points, unlike standard Binary Segmentation. On the other hand, despite its use of localisation, WBS does not require the choice of a window or span parameter, and does not lead to significant increase in computational complexity. WBS is also easy to code. We describe two types of stopping criteria for WBS : one based on thresholding and another based on what we call the “extended Schwarz Information Criterion”. We provide default recommended values of the parameters of the procedure and, in an extensive simulation study, show that it offers very good practical performance in comparison with the state of the art. We provi de a new proof of consistency of Binary Segmentation with improved rates of convergence, as well as a corresponding result for WBS .

This talk is part of the Isaac Newton Institute Seminar Series series.

This talk is included in these lists:

• All CMS events
• Featured lists
• INI info aggregator
• Isaac Newton Institute Seminar Series
• School of Physical Sciences
• Seminar Room 1, Newton Institute
• bld31

Note that ex-directory lists are not shown.