Scalable multiple changepoint detection for functional data sequences. Issue 2 (24th November 2021)

• Record Type: Journal Article
• Authors: Harris, Trevor; Li, Bo; Tucker, J. Derek
• Is Part Of: Environmetrics. Volume 33:Issue 2(2022)
• Page Start: n/a
• Page End: n/a
• Publication Date: 2021-11-24
• Subjects: atmospheric radiance -- CUSUM -- functional change points -- fused lasso -- robust procedures -- time domain -- time series; Environmental sciences -- Statistical methods -- Periodicals; 550.72
• DOI: 10.1002/env.2710
• Languages: English
• ISSNs: 1180-4009

Abstract

Abstract: We propose the multiple changepoint isolation (MCI) method for detecting multiple changes in the mean and covariance of a functional process. We first introduce a pair of projections to represent the variability "between" and "within" the functional observations. We then present an augmented fused lasso procedure to split the projections into multiple regions robustly. These regions act to isolate each changepoint away from the others so that the powerful univariate CUSUM statistic can be applied region‐wise to identify the changepoints. Simulations show that our method accurately detects the number and locations of changepoints under many different scenarios. These include light and heavy tailed data, data with symmetric and skewed distributions, sparsely and densely sampled changepoints, and mean and covariance changes. We show that our method outperforms a recent multiple functional changepoint detector and several univariate changepoint detectors applied to our proposed projections. We also show that MCI is more robust than existing approaches and scales linearly with sample size. Finally, we demonstrate our method on a large time series of water vapor mixing ratio profiles from atmospheric emitted radiance interferometer measurements.