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2
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0answers
17 views

Nonparametric changepoint detection for a point process

I have a bunch of point processes that are generated by some unknown model. There is a marked pause that seems to begin and end at the same time in each process. I would like to measure this pause. I ...
0
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0answers
7 views

Deriving conditional distributions for a normally distributed change point problem

So, considering the change point problem of $y_i \left\{ \begin{array}{ll} y_i \tilde{~} N(u_1, \sigma) & i=1,..,t \\ y_i \tilde{~} N(u_2,\sigma) & i= t+1,...,n \\ \end{array} ...
1
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0answers
41 views

How can I model such count data with underdispersion

Here is an example of my data: 2 6 4 5 2 5 4 4 2 3 3 5 5 6 5 6 15 19 16 9 14 14 11 10 6 4 2 In my assumption, the sequence can be separated into regimes, for instance, 2 6 4 5..6 6 5 6 belong to the ...
0
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1answer
27 views

Change detection in trending degradation data

I'm working with degradation data and are trying do use change detection methods to detect repairs. Since I'm looking for repairs I'm only interested in positive changes. Between the repairs the data ...
1
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0answers
32 views

OpenBUGS example: Stagnant, a changepoint problem and an illustration of how NOT to do MCMC! - Why is the second parameterization better?

I am working on an Bayesian problem from an OpenBugs example: Stagnant, a changepoint problem and an illustration of how NOT to do MCMC!. This is a changepoint problem. Basically we assume a model ...
0
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0answers
24 views

Is there a relationship between confidence intervals and change point detection criteria?

I'm trying to use both forecasting and change point detection on a regression model, i.e. I want to see the forecasts of the regression model (package forecast) and run an "online" change point ...
1
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0answers
67 views

Is E-Divisive with Medians (the Twitter BreakoutDetection algo) robust and efficient?

There are quite a few algorithms to detect changepoints, outliers, mean shifts, trend shifts etc. out there. Recently I've stumbled upon BreakoutDetection and while it's new and shiny I'd like to know ...
1
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2answers
82 views

R package changepoint, does this make any sense?

I am testing R package, changepoint, and I observed funny phenomena. Here's my code. ...
3
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0answers
62 views

Understanding Chib (1998) Bayesian multiple changepoint model

Ungated link to the paper Chib, S. (1998). Estimation and comparison of multiple change-point models. Journal of Econometrics, 86(2), 221–241. doi:10.1016/S0304-4076(97)00115-2 The context of the ...
1
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3answers
66 views

Change Point Analysis for Environmental Data

Does anyone know of somewhere with resources on using change point analysis for determining environmental threshold values? Let me emphasize that this is NOT time series data. Change point analysis is ...
6
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4answers
409 views

Detecting changes in time series (R example)

I would like to detect changes in time series data, which usually has the same shape. So far I've worked with the changepoint package for R and the ...
3
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2answers
84 views

Detecting if samples belong to a given distribution

I am a networking person and I am trying to use statistical methods for a problem I am facing, so I would appreciate any help or pointers. I have users that access the medium, but in case 2 or more ...
0
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0answers
35 views

Change point analysis along an environmental gradient

I am looking at environmental data - habitat scores and stream conductivity (water quality measure) and looking to do some change point analysis in a set of 178 observations. As opposed to a more ...
0
votes
1answer
76 views

Is this a job for mixture of experts regression or semi-hidden markov models or something else?

Data I have several thousand timeseries each comprising around 365 data points. Browsing through a few of them, it looks like each timeseries consists of several regimes (different number f regimes ...
1
vote
2answers
148 views

What can be inferred from a short multivariate time series?

I have annual observations of 24 variables over 10 years, and I would like to identify evidence of structural change (regime shift). The data pertain to university enrollment & spending, so I ...
3
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1answer
29 views

Correlation on ordered subset

Imagine a hypothetical scenario in which a ball is thrown along a straight line. During flight, the position is continually sampled; however, at some distance, the sampling fails and only noise is ...
0
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1answer
85 views

Maximizing Log-Likelihood Estimation for Changepoint Detection

I'm trying to code the changepoint detection algo described here: ...
0
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0answers
29 views

Setting minimum changepoints in R

I'm using: multiple.meanvar.exp() In R for changepoint analyses. Is there any way to force a MINIMUM number of changepoints? (I'm aware of the maximum param) ...
7
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5answers
311 views

How to characterize abrupt change?

This question may be too basic. For a temporal trend of a data, I would like to find out the point where "abrupt" change happens. For example, in the first figure shown below, I would like to find out ...
1
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1answer
93 views

Detecting a step change in time ordered data

Suppose I have data which looks like this: ...
3
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0answers
102 views

Where can I find resources to learn about change-point analysis ?

Where can I find resources to learn about change-point analysis ? Hopefully, someone can advise me a textbook to read and it will cover both univariate change-point analysis and multivariate ...
3
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1answer
103 views

Analyzing change in categorical data with age

I have data in an excel spreadsheet of around 500 participants in a taste experiment. The data includes the age of the participant, in addition to one of five locations on their tongue in which they ...
4
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0answers
54 views

Detecting changepoint in ratio of rates of two Poisson processes

I'm interested in a changepoint detection problem of the following scenario: Consider two Poisson processes for which we have the event times. I'm interested in detecting a change in the relative ...
0
votes
1answer
182 views

How do I detect state change in multivariate time series?

I have a multivariate time series . For each row in the data we have the values of inputs and a label for stability (0 or 1 ) . What are the algorithms that can detect the stability for an unlabelled ...
4
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3answers
186 views

find the point at which the curve significantly shoots up

so this is getting a little complex for me and hope someone can help me out. I do not have a mathematical background. I have a time series of daily rainfall for 50 years for a particular location. ...
1
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0answers
121 views

Multiple Hypothesis testing correction on non-independent data

Consider a vector $X_i$ with $i \in [1,N]$. Let us say that you divide the vector into two $X_{i}'$ with $i \in [1,j]$ and $X_i''$ with $i \in [j+1, N]$ for several $j$; then for each pair of ...
2
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2answers
484 views

Changepoints in R

I have the following dataset: ...
3
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1answer
363 views

required: good and straightforward method to detect change points in dependent univariate time series using r

I know that there are many related threads, packages and papers. Currently I`m reading through many of them. However, I don't plan to dig too deeply into this topic. I need a sound method that works ...
3
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3answers
200 views

Understanding factor potentials in PyMC

I'm trying to understand factor potentials from the PyMC documentation, but need some help on the implementation piece--or it may turn out that I am misunderstanding how potentials work altogether. ...
2
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0answers
206 views

Estimating break point in a broken stick / piecewise linear model for one variable while including other as model terms

I am interested in estimating a break point in response to one explanatory variable, while also including other variables as terms in the linear model. One reason to include additional terms is to ...
4
votes
2answers
100 views

Checking that values are piecewise uniform

I have a set of values and I wish to check if they are piecewise uniform. I hope I'm using the correct terms, but I'll explain what I mean. Consider the following values - 100,105,100,103,98. We ...
1
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1answer
140 views

Change detection for beginners

I've seen Change detection algorithm - likelihood ratio but I am afraid my question is more basic. I have a sequence $(x_j)_{j=1..N}$ of random observations. I know, these observations are not all ...
2
votes
1answer
125 views

the derivation of the conditional posterior for the Poisson model setting

When discussing the Poisson process with changing point (Carlin, Gelfand and Smith, 1992), the model is assumed as I am not quite clear about the derivation of conditional posterior distribution ...
1
vote
1answer
129 views

The concept of “average run length” in change point detection

With respect to the change point detection for data stream, there is a concept of "average run length", which is discussed in the CPM package manual: I am not clear why that "average number of ...
1
vote
1answer
102 views

How to analyze data which might come from a few normal distribution concatenate together in order?

For example, I have a series of values for example like the following: data <- c(rnorm(10000,40,1500),rnorm(9000,-35,1400),rnorm(11000,30,1300)) I don't know ...
1
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0answers
180 views

How to detect step changes in GPS time-series data?

The graph below shows GPS heading data (sampled every second) and I am trying to find the best way to detect (right/left) turns in the data. Appreciate suggestions for algorithms/methods for it ...
4
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1answer
1k views

How to simulate a Cox proportional hazards model with change point and code it in R

I have a model that has the following characteristics: The covariate $X$ follows a $Be(1/3)$. If $X=0$, survival time $Y$ follows an $E=Exponential (1)$. If $X=1$, survival time $Y$ is generated as ...
0
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0answers
131 views

Changepoint Analysis on differenced data

I was told to run a changepoint analysis in R on my data. But the data shows a decreasing trend, so the changepoint analysis won't be of help (I don't think?). If I differenced the data, to get rid of ...
3
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1answer
698 views

Penalty value in changepoint analysis

I'm working with the changepoint R package in R and I understand everything but the penalty value. I know it changes the units of change in the mean, but I still don't know how to interpret it. How do ...
6
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2answers
1k views

Python module for change point analysis

I'm looking for a Python module that performs a change-point analysis on a time-series. There are a number of different algorithms and I'd like to explore the efficacy of some of them without having ...
4
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1answer
2k views

Change point analysis

Could someone please explain change point to me. I'm using the package in R, and I don't really understand what the different methods mean, the pros and cons of each, and I especially do not ...
2
votes
1answer
178 views

Breakpoint for bivariate data

The breakpoint(s) estimation approach implemented in the strucchange package (Zeilei & al) seems to work very well (based on my little experience with this package on real case studies). Is ...
8
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0answers
372 views

Link Anomaly Detection in Temporal Network

I came across this paper that uses link anomaly detection to predict trending topics, and I found it incredibly intriguing: The paper is "Discovering Emerging Topics in Social Streams via Link Anomaly ...
0
votes
1answer
433 views

Change and outliers detection by means ARIMA (Tsay procedure)

I have a question about automatic on-line outliers and change point detection in time series data. Now I read the paper: "Outliers, Level Shifts, and Variance Changes in Time Series" Ruey S.Tsay It's ...
2
votes
1answer
489 views

Testing whether there is an increase between two regression slopes in a time series

I have a data of sea levels from a particular station from 1940 till today. The linear regression on the data from 1940-1980 resulted in a slope of 3. The linear regression on the data from 1980-2010 ...
4
votes
1answer
188 views

How to test for a break in a time series cycle

I've been scratching my head over this issue and would appreciate some help. I have a time series from 1920-2011 which I've used a Baxter Kings filter on to detrend. I would like to test whether the ...
2
votes
1answer
964 views

Tools to detect jumps in a linear time series

I have a financial time series that has a linear down trend, but sometimes a jump happens (see image below). What statistical methods can I use to detect these jumps as early as possible?
2
votes
1answer
179 views

How can I measure the effects certain events have on the frequency of other events over time?

EDIT: added more details following @kjetil comments I have the following problem: I monitor one stream of events of type A - those events can be considered instantaneous. I also monitor additional ...
1
vote
1answer
149 views

Model to detect abnormalities in two-value data?

I have a question concerning data that oscillates between two primary value ranges, and how one might go about determining any performance metrics or abnormalities in that data. Example: I have a ...
4
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0answers
177 views

Reference for implementing generalized likelihood ratio test to determine online whether time-series mean has shifted

What is a reference that describes the "generalized likelihood ratio" test to determine online (i.e., meaning that we add an observation, then check, then add an observation, then check) whether the ...