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3answers
127 views

Change point identification

I have a question related to change detection. Application domain is robotics/planning. Background/setting: There is a sensor detecting distance from obstacle (ultrasonic / sonar sensor) at a ...
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1answer
19 views

Percentage points for W in Worsley (1979, JASA)

Worsley (1979 JASA) provided, in the only table of the paper, the percentage points for the W statistic for detecting a shift in the mean of a normal population. Unfortunately, the table shows ...
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0answers
31 views

Bayesian Priors Update: Difference in Mean detection

Suppose I have measures of the life span of mice. I know the true expectancy in the beginning of the experiment - 1000 of days and true variance. At some (unknown) point mice begun to be fed by a new ...
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1answer
48 views

Choice of a model for Bayesian Change Point Detection

I am getting my hands dirty with Probabilistic Programming using Bayesian approach to change-point detection. I read a number of tutorials provided with PyMC and reading the book by Cameron ...
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1answer
52 views

Change point detection test using Pettitt-Mann-Whitney test?

I am getting two change point with same p-value (or 90.27% probability) in an interval of two years i.e., 1955 and 1958. Here the trend is increasing from 1901-1955 and 1958-2015. How it could be ...
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2answers
81 views

Trend and Breakout detection in time series

I am working on several types of system metrics which characterizes several components of an application. The metrics range from system metrics like cpu.utilization to network metrics and database ...
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0answers
30 views

Changepoint mixed model R2jags

Can anyone suggest a way to code a changepoint model in JAGS (I'm using JAGS within R using R2jags) for the variance parameter of a random intercept effect? I am using the data set sleepstudy from ...
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0answers
12 views

R code for identification of change points in panel models

I have a time series for 24 individuals over the course of one month measured on day 0,2,4,6,8,11,14 and 30. Each individual was infected by a viral pathogen (on day 0) and virus titer, acute phase ...
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1answer
28 views

change points/break points in nonlinear regression

I have a problem in which I am trying to estimate change/break points where the data has a linear portion (or semi-linear at least)and a nonlinear (actually an exponential) portion. Does anyone know ...
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0answers
5 views

Ranking districts (on basis of % cahnge) after controlling initial conditions

We want to rank Indian districts as good/bad/average performer on the basis of change in access to latrine between 2001 and 2011. We calculate the percentage point change in access to latrine ...
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1answer
35 views

Change-point detection for events arriving according to a stochastic process

I have a sequence of events that arrive at random times, say, according to a Poisson process. Each event is annotated either 'good' or 'bad', and we can think of that annotation as coming from a ...
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0answers
63 views

Is timeseries transformation needed?

I am using the cpm package in R to detect changepoints in animal behaviour gathered from GPS data. I have an example below of how the detectchangpointBatch function in this package performs the ...
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0answers
27 views

Segmented linear regression without a priori known break points [closed]

I'm trying to find a method for applying a segmented linear regression with python with out knowing the break-points (knots) a priori. I have tried to use the methods provided here (Piecewise ...
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2answers
87 views

Bayesian change point detection

Really naive question. I have a time series. I know how to perform segmentation (like binary segmentation algorithm). The goal is to find intervals generated from different probabilistic models. But ...
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0answers
15 views

Comparison of means between two groups using additional information

I would be glad if you help me with at least one of the questions. General question: there are two groups, sampled from normal distributions with only two means (one for each group) and different ...
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0answers
24 views

Change Point Analysis for Bucketing

I have two variables, say price and quantity. Quantity is discrete and for each quantity I have one single price: ...
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0answers
14 views

Online Non-stationary Plateau Detection

I need to detect plateaus in time series data online (only using previous data). I only know that plateaus should exist. I plan to use a fixed window moving average and define plateau detection as the ...
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0answers
55 views

Sequential data change detection

I have researched questions like Change detection algorithm - likelihood ratio and Change detection for beginners but I am not sure how they apply to my problem I have a time series of data (X) as ...
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0answers
28 views

why 'bcp' function (change point) gives no result if sample too small

I'm using the 'bcp' package (bayesian change point) to detect changes in a time serie. I work with quite small datasets, between 12 and 36 observations. The bcp function provides an estimate of the ...
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0answers
24 views

Chow test with three breaks

I am doing a Chow test on data with three breaks. I have dummies group1 group2 group3 and group4 and exchange1 exchange2 exchange3 exchange4, which is what I'm regressing. After I regress it, do I ...
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0answers
18 views

Identifying Changepoints in Learning Data

I have a "changepoint" problem that I do not understand. The data for my MWE comes from one human player as s/he played the same video game for 31 one-hour sessions (no more than one session per ...
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0answers
46 views

How do I find multiple change points in an online dataset?

I am trying to develop a Python based script connected to a SQLite3 database to identify distinct system changepoints in an "online" datastream. Changepoint must be identified in less than 2 minutes ...
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1answer
78 views

Basic modeling question with time series as covariate

I have a dataset with a bunch of entities (patients) and for each of these entities I have: A binary outcome specific to each entity (i.e. outcome does not vary in time) Some static predictors ...
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0answers
33 views

MCMC Metropolis change point process

Let $y_i \sim N(\mu_1,1)$ for $1\leq i\leq k$ and $y_i \sim N(\mu_2,1)$ for $k+1\leq i\leq 250$. Variances are set to 1 to keep things simple and 250 is the sample size. I want to apply a Metropolis ...
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0answers
21 views

Changepoint detection for known possible timepoints

My data is a stream of binary results, and I would like to detect whether or not the mean has changed as this data arrives. I know changepoint detection is a way to do this while minimizing the danger ...
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3answers
129 views

On-line detection of changing in a time series

I would like to know what is the best approach to detect on-line the occurrences of a new steps or changes in a time series. I've attached a picture of the time series I'm talking about. I would be ...
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0answers
349 views

Change point detection with Matlab

I'd like to detect changes in mean in time series data. I've been using R successfully with the ecp (cp3o) and BreakoutDetection libraries. I need to transfer my code from R to Matlab and are therefor ...
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1answer
90 views

Interpretation of Multiple Change point results and graph for offline analysis in R

Using the changepoint R package to detect and estimate multiple change points with non-normality assumption for mean with the following codes ...
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0answers
42 views

Change detection in 2D data

I have a 2D data set in which I wish to detect changes as a function of time. The x-ordinate is detector position, and the y-ordinate is time. The z-ordinate is either 0 or 1, showing the absence or ...
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1answer
275 views

Estimate number of breakpoints in regression

I've been playing around with the package strucchange (and to some extent segmented) in R. I'm trying to determine whether there ...
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0answers
30 views

Measurements: Calculate start of gradient

let's assume you have 1000 measurements (temperature in this case), all having a similar shape. It's a temperature profile inside a production line measured by a reference block mounted with ...
2
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1answer
109 views

What is the best way to find change points in empirical power law distributions?

I'm looking at some data that conform reasonably well to a continuous power law distribution, according to a Kolmogorov-Smirnov test that compares the estimated power-law fit to the data (per Clauset, ...
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0answers
45 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 ...
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0answers
9 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} ...
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0answers
60 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 ...
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1answer
45 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 ...
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0answers
68 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 ...
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1answer
462 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 ...
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2answers
327 views

R package changepoint, does this make any sense?

I am testing the R package changepoint, and the results are strange. Here is my code: ...
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0answers
94 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 ...
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3answers
128 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 ...
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4answers
2k 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 ...
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2answers
138 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 ...
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0answers
81 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 ...
2
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1answer
218 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 ...
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2answers
245 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 ...
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1answer
34 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
145 views

Maximizing Log-Likelihood Estimation for Changepoint Detection

I'm trying to code the changepoint detection algo described here: ...
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5answers
537 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 ...
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1answer
167 views

Detecting a step change in time ordered data

Suppose I have data which looks like this: ...