Questions tagged [change-point]
Methods that attempt to detect when a change occurs in a distribution, process, or function.
191
questions
2
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0answers
23 views
Cut off age for mortality data
I have data with death rates for each year 1921 to 2014; and for each age 0 to 110 as below:
...
0
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1answer
44 views
Detecting change point in a time series
I'm dealing with time series from satellite imagery, where I have a sudden change (drop), that I can see from the plot, but I need a statistical test to detect it. I already checked for stationarity ...
0
votes
1answer
47 views
Machine Learning alternative for hashing [closed]
Is there a Machine Learning technique that can used to detect the slightest change in data? I know this can be done using a hash but I was just wondering if there is any machine learning technique out ...
0
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0answers
16 views
Pettitt Test selecting multiple change points?
I am using the pettitt.test function in R to select change points significant at p < 5 in a group of 24 year time series with one value per year. I load each ...
0
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0answers
25 views
Expected number of samples to detect a change point
I am not a statistician so please excuse if my use of terminology to describe the problem is imprecise.
Problem: An agent draws samples from a process. Initially, the process returns success with a ...
0
votes
1answer
30 views
Changepoint detection and confidence score
I am familiar with Bayes Theorem and hypothesis testing, but not much above that.
However, I have a problem that I cannot seem to formulate in frequentist terms - to my knowledge. From what I know ...
0
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0answers
8 views
CUSUM-type tests for change in variance: Difference between Sansó, Aragó and Carrion (2004), Kokoszka and Leipus (2000) and Andreou and Ghysels (2002)
I'm trying to figure out the difference between the tests of Sansó, Aragó and Carrion (2004) and the test of Kokoszka and Leipus (2000) after the adjustment suggestion by Andreou and Ghysels (2002). ...
0
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1answer
16 views
How to score/measure the change in a time series from t-x,…t-1 to t0 (Relative change)
I think about having data such as:
...
0
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0answers
16 views
Feature Scaling/Standardization or Change Point Score?
I've different data sets that have the feature Volume. This feature represents the absolute number of events. Each observation represents a period (a fixed period such as 15 minutes). You can imagine ...
3
votes
1answer
94 views
Bayesian online changepoint detection (modeling assumptions in recursive derivation)
I am reading Bayesian Online Changepoint Detection (https://arxiv.org/pdf/0710.3742.pdf), and I do not understand one step in the derivation of Equation $3$. For completeness, this is my derivation:
$...
0
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0answers
37 views
Multivariate change point detection with strongly correlated (nonlinear) variables
I have a two-variable time series. There is a very strong nonlinear correlation between the two variables, so they can be thought of as:
variable_1 = $X$ (random variable)
variable_2 = $f(X) + N(\mu,...
0
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0answers
12 views
Change point detection applicable to pulsar signals?
Little background on pulsar timing research. A millisecond pulsar has a very stable pulsar 'profile', or characteristic pulse, and is like a fingerprint for each pulsar. However, at times, the pulsar ...
0
votes
1answer
44 views
Should I check structural breaks when forecasting, given limited time window
I attached the graph of a time series below, which is a series of the probability of defaults.
This is a quarterly time series. When I am using a regression model to forecast this time series, should ...
0
votes
1answer
72 views
Indentify subset of data that follow linear regression
I have a dataset that is split into two different behavior, a first part of the data follow a linear model and the second part of the data follows a log model. My problem is that I need to get the ...
1
vote
1answer
50 views
Resources for Non-Bayesian Online Change-point Detection
I am interested in learning about the fundamentals of on-line change point detection. I am specifically not interested in the Bayesian methods.
The only solid resource / review / survey I could find ...
0
votes
1answer
77 views
Analysis of time series data where its structure changes
I'm relatively new to time series analysis and am working on characterization of time series data of a VM’s resource utilization (is its usage of CPU variable, how variable is it, magnitude and ...
1
vote
1answer
187 views
Step up change point detection [closed]
Can anyone advise me on libraries or code I could use to do step up change point detection? By step up I mean only step change ...
0
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0answers
13 views
Help inference results of a threshold regression model with multiple threshold variable
Just ran the package pdR, but i am having problems interpreting the results. Do i only check the p-values to validate results? what else do i have to look at?
Output[[1]] #Formatted output of 1st ...
1
vote
0answers
65 views
Coming up with decent priors for Bayesian Online Changepoint Algorithm
I am trying to identify changepoints in time series data using this online changepoint detection algorithm. It seems that there are a couple of user defined parameters that I have to give the model:
...
0
votes
0answers
73 views
What Mean Should One use for CUSUM change detection?
I'm new to CUSUM and I'm using it to detect change of temperature over time past a certain threshold.
My data are daily temperatures from July through October, and I am using 0.5*SD for my C and 5*SD ...
0
votes
0answers
125 views
Change point detection in beta distribution
If the outcomes of agent is modeled as a Bernoulli distribution with success probability θ ∈ [0, 1]. Where α is number of successful tasks that agent execute, and β is number of unsuccessful tasks ...
0
votes
0answers
17 views
model for short life cycle products using event detection
I would like to make predictions on short life cycle products.
I have a dataset with only 52 weeks.
The biggest problem of SLCPS is that it is impossible to find seasonality, cyclicity etc. etc.
I ...
0
votes
0answers
121 views
Bernoulli distributed random variables - Change point Detection
I am looking for change point detector model for my Bernoulli random variable. I built my simple detector, the absolute difference between stander deviation of of all transaction history stored, and ...
1
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0answers
67 views
Guidance on time-series change point detection or identification of contributions
Let me preface this by saying that I am not a data scientist. Please excuse any imprecision in my use of subject specific terms or notations. Please feel free to edit my question, to improve any ...
0
votes
2answers
175 views
Time series analysis with recurring event (python)
I Have a vector of n values and I have event that occurs occasionally throughout this vector.
So I have
V1 = [300, 120, 450, 700, 880, 400, 100, 60, 44, 91]
...
1
vote
1answer
53 views
Pearson correlation in data set with “jump”
I'm trying to calculate the correlation between the condition number of a finite elements matrix and the coarseness of the mesh that it represents.
However, when trying to calculate the Pearson ...
0
votes
2answers
96 views
Detecting change in p of a Bernoulli process
A machine outputs either a 0 or a 1 each second. We denote this output at time $t$ as $b_t$. The probability that it outputs 1 is $p_t$ at time $t$. How do we go about studying the change in $p_t$ in $...
1
vote
1answer
100 views
How to statistically determine if there was sales lift?
Say my company is about to make some changes that they expect will increase sales and customer acquisition in current markets, what would be the best way statistically to determine if that lift was ...
0
votes
0answers
24 views
Measuring the effect of an outside force on time series with trend and seasonality
Let's say I have a time series that shows daily traffic to my website. My website is getting more popular so there's a trend up, and the traffic is based on day of week so it's cyclical with a period ...
2
votes
0answers
43 views
How to find the timepoint when on average each timeseries reaches a given threshold with hypothesis testing?
I have N individual timeseries and would like test statistically - after the fact - when they cross a given threshold - specifically when they are reliably above 0. I am new to timeseries analysis and ...
3
votes
1answer
620 views
Pettitt's Test for Change-Point Detection Showing P-Value Larger than 1
I am studying how to use the pettitt.test function from the trend package in R to detect change-point in a time-series. However, ...
3
votes
1answer
2k views
Changepoint/Step Detection in Univariate Time Series
As a beginner to time series analysis, I'm trying to understand the best way of detecting the points at which my univariate time series shows a change in trend direction (see highlighted example).
I ...
0
votes
0answers
1k views
CUSUM algorithm and first derivative
I have a doubt about implementation of CUSUM algorithm. I found a Python implementation here.
It is based on a formulation of the CUSUM that basically tracks positive ($g^+$) as well as negative ($g^...
1
vote
1answer
427 views
3
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1answer
180 views
Hierarchical Version of Bayesian Change Detection Model in JAGS
I am trying to create a hierarchical changepoint detection model in JAGS, estimating group difference in changepoint based on individual changepoints in scores for an outcome variable (fictional in ...
0
votes
2answers
113 views
R changepoint, different number of outputs
I tried detect change points in R. I've ran following MWE in R.
...
0
votes
1answer
83 views
Finding statistically significant changes in a time series
What would be the proper way to determine statistically significant changes between time periods within a time series (between Yn and Yn+1)? I thought about taking the first difference and ...
0
votes
0answers
724 views
Change detection point with python
How reliable is using KS test (https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.ks_2samp.html) for change-point detection (in a single vector)?
Is there a better way for this, in ...
1
vote
0answers
42 views
Time series clustering/segmentation based on pattern
I'm currently working with a database which contains several large PPG (pulse oximetry) and ECG time series. These series, however, contain segments within them which are highly contaminated by noise, ...
0
votes
0answers
35 views
Finding the likelihood of a normal distribution in a change point model
The simple change-point problem can be described as follows. Here it is assumed that both $p_1(y)$ and $p_2(y)$ are known completely.
$y_1,...,y_\tau|\tau $ are iid with distribution $p_1(y)$ and $y_{...
3
votes
0answers
561 views
Edge detection in time series
I have a time series (data here) which contains several square-wave jumps, as well as some physical signals of interest. An example is shown in the top panel of the figure below. There are square wave ...
0
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0answers
61 views
Understanding a cost function
I have been analyzing a cost function used in a point of change algorithm.
I am having trouble understanding the notion of a cost function and how it generates results for example.
...
0
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0answers
39 views
Hypothesis testing on dependent samples to identify change point
I want to perform hypothesis tests on the correlated observations. Practically speaking, suppose there is a sequence of data points $X_n$, which could be regarded as the observations from a certain ...
2
votes
0answers
38 views
How to estimate point of jump in a regression model?
So non-parametrically it is observed that once the temperature hits approximately 300K, there is a jump in conductivity of a material. Now the estimate is noisy and seems to shift slightly based on ...
1
vote
1answer
167 views
Finding changepoints in the movement of a car with respect to a lead car (using ecp package in R)
Main Question:
How do I apply e.divisive method from ecp package effectively on multivariate time-series, so that the resulting ...
4
votes
1answer
441 views
Need advice on change point (step) detection
I have a time series with lots of steps/jumps (data file here). A plot is given below. I would like to subtract an appropriate value for each of these square wave features to bring them back down to ...
6
votes
1answer
125 views
Detecting changes in large number of time-series that share seasonality
I have large number of time-series that are independent of each other, but share some seasonality patterns. I need to detect anomalies/changes (increased volume, change in mean), that appear in the ...
0
votes
1answer
69 views
sequences of different length
I have two sequences of coin tosses, which have different lengths. I want to compare their likelihoods under a model. But since the likelihood is a product of probabilities, the longer sequence ends ...
1
vote
1answer
55 views
Bayesian Information Criterion - Non-physical model selection
Following the work of Bai & Perron (1998) and others in detecting structural changes in time series, I am trying to select the breakpoints by using the Bayesian Information Criterion.
Basically, ...
0
votes
2answers
48 views
Demonstrate change of predictor variable for a time series [duplicate]
I have the following problem:
Assume there are three time series $h(t)$, $g(t)$ and $f(t)$.
The hypothesis is that prior to $t_1$: $h(t)=a\cdot f(t-t_2)$
and after $t_1$: $h(t)=b \cdot g(t-t_3)$.
...
