Economic Risk Seminar

Andreas Anastasiou, London School of Economics and Political Science

Detecting multiple generalized change-point by isolating single ones

We introduce a new approach, called Isolate-Detect (ID), for the consistent estimation of the number and location of multiple generalized change-points in noisy data sequences. Examples of signal changes that ID can deal with, are changes in the mean of a piecewise-constant signal and changes in the trend, accompanied by discontinuities or not, in the piecewise-linear model. The number of change-points can increase with the sample size. Our method is based on an isolation technique, which prevents the consideration of intervals that contain more than one change-point. This isolation enhances ID’s accuracy as it allows for detection in the presence of frequent changes of possibly small magnitudes. Thresholding and model selection through an information criterion are the two stopping rules described in the article. A hybrid of both criteria leads to a general method with very good practical performance and minimal parameter choice. In the scenarios tested, ID is at least as accurate as the state-of-the-art methods; most of the times it outperforms them. The R package IDetect implementing the method from the paper is available from CRAN.

Speakers

Andreas Anastasiou, London School of Economics and Political Science