Questions tagged [change-point]

Methods that attempt to detect when a change occurs in a distribution, process, or function.

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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,...
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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 ...
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38 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 ...
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68 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 ...
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34 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 ...
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66 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 ...
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107 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 ...
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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 ...
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50 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: ...
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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 ...
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117 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 ...
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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 ...
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108 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 ...
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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 ...
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2answers
158 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] ...
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1answer
44 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 ...
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90 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 $...
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79 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 ...
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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 ...
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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 ...
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1answer
487 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, ...
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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 ...
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825 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^...
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352 views

Finding the change point before a significant increase

I have the following time series: ...
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1answer
157 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 ...
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2answers
109 views

R changepoint, different number of outputs

I tried detect change points in R. I've ran following MWE in R. ...
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1answer
77 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 ...
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plotting the regression lines in each iteration (chngpt package) [closed]

I want to plot the regression lines for each iterations of the chngpt package. Link to chngpt package Here's my sample data: ...
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588 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 ...
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40 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, ...
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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_{...
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465 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 ...
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54 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. ...
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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 ...
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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 ...
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1answer
153 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 ...
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1answer
378 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 ...
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1answer
109 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 ...
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1answer
62 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 ...
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1answer
44 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, ...
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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 $t_1$: $h(t)=b \cdot g(t-t_3)$. ...
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Is it possible to use statistics to detect a rising temperature scenario?

It is required to monitor temperature data from a manufacturing environment. The particular use case is to detect if the temperature is rising beyond normal values to enable timely corrective action. ...
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1answer
587 views

Identify two major change points in time series data and summarise for several replicates in R

I'm working with temporal simulations (forward in time) and I would like to find the best way to detect the two major change points in this time series. I have several replicates of the same ...
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133 views

How do I do a change point analysis on a sparse data set in python?

So, I have some data from video game playtests, where players were allowed to play a game at home for a week, and were asked to fill out a daily survey. In particular, they were asked to rate a ...
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1answer
48 views

Time series random chance detection

I have a time series data of monthly sales for the last 4 years. The sales for one month eg Feb 2017 is much higher same month last year or the last month sales of Jan 2017. If i wanted to detect if ...
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What type of model can be used to detect changes in periodic behavior?

Imagine we have a data sequence centered around 0 with small fluctuations +/- 1, but approximately every 100 observations it jumps to 10. If this behavior changed and it started jumping to 5 every 50 ...
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4k views

Time series anomaly detection

I am tasked to develop an anomaly detection system for data organised in many 1D (can be more than 1D if I choose, but I think that will complicate the problem even more) daily time series. The series ...
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4answers
2k views

Anchoring a linear regression to a specific data point in r

This is different, follow up question to someone else's question here: I am very new to R and have no programming experience what so ever but I am holding my own for the data analysis we need in my ...
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137 views

Changepoint detection in a single unevenly spaced time series

I have a single time series, unevenly spaced. I would like to perform change point detection on it. Does it mean a non-parametric method is needed? Any pointers to which method would be valid? Also, ...
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282 views

How to detect distribution changes within population?

I have a time series data of populations, e.g. for each time point, I have the blood pressure of 1 million of rats. How can I monitor that the distribution of this population drift over time? For ...