Most Recent Changepoint Detection in Panel Data.

Detecting recent changepoints in time-series can be important for short-term prediction, as we can then base predictions just on the data since the changepoint. In many applications, we have panel data, consisting of many related univariate time-series. We present a novel approach to detect sets of most recent changepoints in such panel data that aims to pool information across time-series, so that we preferentially infer a most recent change at the same time-point in multiple series. Our approach is computationally efficient as it involves analysing each time-series independently to obtain a profile-likelihood like quantity that summarizes the evidence for the series having either no change or a specific value for its most recent changepoint. We then post-process this output from each time-series to obtain a potentially small set of times for the most recent changepoints, and, for each time, the set of series that has their most recent changepoint at that time. We demonstrate the usefulness of this method on two datasets: forecasting events in a telecommunications network and inference about changes in the net asset ratio for a panel of US firms. [ABSTRACT FROM AUTHOR]