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High-dimensional self-exciting point processes have been widely used in many application areas to model discrete event data in which past and current events affect the likelihood of future events. In this paper, we are concerned with detecting abrupt changes of the coefficient matrices in discrete-time high-dimensional self-exciting Poisson processes, which have yet to be studied in the existing literature due to both theoretical and computational challenges rooted in the non-stationary and high-dimensional nature of the underlying process. We propose a penalized dynamic programming approach which is supported by a theoretical rate analysis and numerical evidence.

We develop a novel, general and computationally efficient framework, called Divide and Conquer Dynamic Programming (DCDP), for localizing change points in time series data with high-dimensional features. DCDP deploys a class of greedy algorithms that are applicable to a broad variety of high-dimensional statistical models and can enjoy almost linear computational complexity. We investigate the performance of DCDP in three commonly studied change point settings in high dimensions: the mean model, the Gaussian graphical model, and the linear regression model. In all three cases, we derive non-asymptotic bounds for the accuracy of the DCDP change point estimators. We demonstrate that the DCDP procedures consistently estimate the change points with sharp, and in some cases, optimal rates while incurring significantly smaller computational costs than the best available algorithms. Our findings are supported by extensive numerical experiments on both synthetic and real data., Comment: 84 pages, 6 figures, 6 tables

This paper studies multivariate nonparametric change point localization and inference problems. The data consists of a multivariate time series with potentially short range dependence. The distribution of this data is assumed to be piecewise constant with densities in a H\"{o}lder class. The change points, or times at which the distribution changes, are unknown. We derive the limiting distributions of the change point estimators when the minimal jump size vanishes or remains constant, a first in the literature on change point settings. We are introducing two new features: a consistent estimator that can detect when a change is happening in data with short-term dependence, and a consistent block-type long-run variance estimator. Numerical evidence is provided to back up our theoretical results.

The Bradley-Terry-Luce (BTL) model is a classic and very popular statistical approach for eliciting a global ranking among a collection of items using pairwise comparison data. In applications in which the comparison outcomes are observed as a time series, it is often the case that data are non-stationary, in the sense that the true underlying ranking changes over time. In this paper we are concerned with localizing the change points in a high-dimensional BTL model with piece-wise constant parameters. We propose novel and practicable algorithms based on dynamic programming that can consistently estimate the unknown locations of the change points. We provide consistency rates for our methodology that depend explicitly on the model parameters, the temporal spacing between two consecutive change points and the magnitude of the change. We corroborate our findings with extensive numerical experiments and a real-life example., Comment: 37 pages, 4 figures, 7 tables

We study the problem of online network change point detection. In this setting, a collection of independent Bernoulli networks is collected sequentially, and the underlying distributions change when a change point occurs. The goal is to detect the change point as quickly as possible, if it exists, subject to a constraint on the number or probability of false alarms. In this paper, on the detection delay, we establish a minimax lower bound and two upper bounds based on NP-hard algorithms and polynomial-time algorithms, i.e., \[ \mbox{detection delay} \begin{cases} \gtrsim \log(1/\alpha) \frac{\max\{r^2/n, \, 1\}}{\kappa_0^2 n \rho},\\ \lesssim \log(\Delta/\alpha) \frac{\max\{r^2/n, \, \log(r)\}}{\kappa_0^2 n \rho}, & \mbox{with NP-hard algorithms},\\ \lesssim \log(\Delta/\alpha) \frac{r}{\kappa_0^2 n \rho}, & \mbox{with polynomial-time algorithms}, \end{cases} \] where $\kappa_0, n, \rho, r$ and $\alpha$ are the normalised jump size, network size, entrywise sparsity, rank sparsity and the overall Type-I error upper bound. All the model parameters are allowed to vary as $\Delta$, the location of the change point, diverges. The polynomial-time algorithms are novel procedures that we propose in this paper, designed for quick detection under two different forms of Type-I error control. The first is based on controlling the overall probability of a false alarm when there are no change points, and the second is based on specifying a lower bound on the expected time of the first false alarm. Extensive experiments show that, under different scenarios and the aforementioned forms of Type-I error control, our proposed approaches outperform state-of-the-art methods.

We study a functional linear regression model that deals with functional responses and allows for both functional covariates and high-dimensional vector covariates. The proposed model is flexible and nests several functional regression models in the literature as special cases. Based on the theory of reproducing kernel Hilbert spaces (RKHS), we propose a penalized least squares estimator that can accommodate functional variables observed on discrete sample points. Besides a conventional smoothness penalty, a group Lasso-type penalty is further imposed to induce sparsity in the high-dimensional vector predictors. We derive finite sample theoretical guarantees and show that the excess prediction risk of our estimator is minimax optimal. Furthermore, our analysis reveals an interesting phase transition phenomenon that the optimal excess risk is determined jointly by the smoothness and the sparsity of the functional regression coefficients. A novel efficient optimization algorithm based on iterative coordinate descent is devised to handle the smoothness and group penalties simultaneously. Simulation studies and real data applications illustrate the promising performance of the proposed approach compared to the state-of-the-art methods in the literature.

This paper addresses the problem of localizing change points in high-dimensional linear regression models with piecewise constant regression coefficients. We develop a dynamic programming approach to estimate the locations of the change points whose performance improves upon the current state-of-the-art, even as the dimensionality, the sparsity of the regression coefficients, the temporal spacing between two consecutive change points, and the magnitude of the difference of two consecutive regression coefficient vectors are allowed to vary with the sample size. Furthermore, we devise a computationally-efficient refinement procedure that provably reduces the localization error of preliminary estimates of the change points. We demonstrate minimax lower bounds on the localization error that nearly match the upper bound on the localization error of our methodology and show that the signal-to-noise condition we impose is essentially the weakest possible based on information-theoretic arguments. Extensive numerical results support our theoretical findings, and experiments on real air quality data reveal change points supported by historical information not used by the algorithm.

We study the estimation and prediction of functional autoregressive~(FAR) processes, a statistical tool for modeling functional time series data. Due to the infinite-dimensional nature of FAR processes, the existing literature addresses its inference via dimension reduction and theoretical results therein require the (unrealistic) assumption of fully observed functional time series. We propose an alternative inference framework based on Reproducing Kernel Hilbert Spaces~(RKHS). Specifically, a nuclear norm regularization method is proposed for estimating the transition operators of the FAR process directly from discrete samples of the functional time series. We derive a representer theorem for the FAR process, which enables infinite-dimensional inference without dimension reduction. Sharp theoretical guarantees are established under the (more realistic) assumption that we only have finite discrete samples of the FAR process. Extensive numerical experiments and a real data application of energy consumption prediction are further conducted to illustrate the promising performance of the proposed approach compared to the state-of-the-art methods in the literature.

We study change point detection and localization for univariate data in fully nonparametric settings in which, at each time point, we acquire an i.i.d. sample from an unknown distribution. We quantify the magnitude of the distributional changes at the change points using the Kolmogorov--Smirnov distance. We allow all the relevant parameters -- the minimal spacing between two consecutive change points, the minimal magnitude of the changes in the Kolmogorov--Smirnov distance, and the number of sample points collected at each time point -- to change with the length of time series. We generalize the renowned binary segmentation (e.g. Scott and Knott, 1974) algorithm and its variant, the wild binary segmentation of Fryzlewicz (2014), both originally designed for univariate mean change point detection problems, to our nonparametric settings and exhibit rates of consistency for both of them. In particular, we prove that the procedure based on wild binary segmentation is nearly minimax rate-optimal. We further demonstrate a phase transition in the space of model parameters that separates parameter combinations for which consistent localization is possible from the ones for which this task is statistical unfeasible. Finally, we provide extensive numerical experiments to support our theory. R code is available at https://github.com/hernanmp/NWBS.

Autoregressive models capture stochastic processes in which past realizations determine the generative distribution of new data; they arise naturally in a variety of industrial, biomedical, and financial settings. A key challenge when working with such data is to determine when the underlying generative model has changed, as this can offer insights into distinct operating regimes of the underlying system. This paper describes a novel dynamic programming approach to localizing changes in high-dimensional autoregressive processes and associated error rates that improve upon the prior state of the art. When the model parameters are piecewise constant over time and the corresponding process is piecewise stable, the proposed dynamic programming algorithm consistently localizes change points even as the dimensionality, the sparsity of the coefficient matrices, the temporal spacing between two consecutive change points, and the magnitude of the difference of two consecutive coefficient matrices are allowed to vary with the sample size. Furthermore, the accuracy of initial, coarse change point localization estimates can be boosted via a computationally-efficient refinement algorithm that provably improves the localization error rate. Finally, a comprehensive simulation experiments and a real data analysis are provided to show the numerical superiority of our proposed methods., Comment: 53 pages; 4 figure

Persistence diagrams are two-dimensional plots that summarize the topological features of functions and are an important part of topological data analysis. A problem that has received much attention is how deal with sets of persistence diagrams. How do we summarize them, average them or cluster them? One approach -- the persistence intensity function -- was introduced informally by Edelsbrunner, Ivanov, and Karasev (2012). Here we provide a modification and formalization of this approach. Using the persistence intensity function, we can visualize multiple diagrams, perform clustering and conduct two-sample tests., Comment: 10 pages, 5 figures