Estimation and Inference in Changepoint Models


Book Description

This thesis is motivated by statistical challenges that arise in the analysis of calcium imaging data, a new technology in neuroscience that makes it possible to record from huge numbers of neurons at single-neuron resolution. We consider the problem of estimating a neuron’s spike times from calcium imaging data. A simple and natural model suggests a non-convex optimization problem for this task. We show that by recasting the non-convex problem as a changepoint detection problem, we can efficiently solve it for the global optimum using a clever dynamic programming strategy. Furthermore, we introduce a new framework to quantify the uncertainty associated with a set of estimated changepoints in a change-in-mean model. In particular, we propose a new framework to test the null hypothesis that there is no change in mean around an estimated changepoint. This framework can be efficiently carried out in the case of changepoints estimated by binary segmentation and its variants, l0 segmentation, or the fused lasso, and is valid in finite samples. Our setup allows us to condition on much less information than existing approaches, thereby yielding higher powered tests. These ideas can be generalized to the spike estimation problem.




Bayesian Time Series Models


Book Description

The first unified treatment of time series modelling techniques spanning machine learning, statistics, engineering and computer science.




Inference for Change Point and Post Change Means After a CUSUM Test


Book Description

The main emphasis is on the inference problem for the change point and post-change parameters after a change has been detected. More specifically, due to the convenient form and statistical properties, the author concentrates on the CUSUM procedure. The goal is to provide some quantitative evaluations on the statistical properties of estimators on the change point and post-change parameters.




Estimation and Inference of Change Points in High Dimensional Factor Models


Book Description

In this paper, we consider the estimation of break points in high-dimensional factor models where the unobserved factors are estimated by principal component analysis (PCA). The factor loading matrix is assumed to have a structural break at an unknown time. We establish the conditions under which the least squares (LS) estimator is consistent for the break date. Our consistency result holds for both large and smaller breaks. We also find the LS estimator's asymptotic distribution. Simulation results confirm that the break date can be accurately estimated by the LS even if the breaks are small. In two empirical applications, we implement our method to estimate break points in the U.S. stock market and U.S. macroeconomy, respectively.




Change-point Problems


Book Description




Estimations And Tests In Change-point Models


Book Description

'This is a solid mathematical treatment of some topics in the analysis of change-point models. The book is intended for graduate students and scientific researchers using statistics in practice.'zbMATHThis book provides a detailed exposition of the specific properties of methods of estimation and test in a wide range of models with changes. They include parametric and nonparametric models for samples, series, point processes and diffusion processes, with changes at the threshold of variables or at a time or an index of sampling.The book contains many new results and fills a gap in statistics literature, where the asymptotic properties of the estimators and test statistics in singular models are not sufficiently developed. It is suitable for graduate students and scientific researchers working in the industry, governmental laboratories and academia.




Parametric Statistical Change Point Analysis


Book Description

Recently there has been a keen interest in the statistical analysis of change point detec tion and estimation. Mainly, it is because change point problems can be encountered in many disciplines such as economics, finance, medicine, psychology, geology, litera ture, etc. , and even in our daily lives. From the statistical point of view, a change point is a place or time point such that the observations follow one distribution up to that point and follow another distribution after that point. Multiple change points problem can also be defined similarly. So the change point(s) problem is two fold: one is to de cide if there is any change (often viewed as a hypothesis testing problem), another is to locate the change point when there is a change present (often viewed as an estimation problem). The earliest change point study can be traced back to the 1950s. During the fol lowing period of some forty years, numerous articles have been published in various journals and proceedings. Many of them cover the topic of single change point in the means of a sequence of independently normally distributed random variables. Another popularly covered topic is a change point in regression models such as linear regres sion and autoregression. The methods used are mainly likelihood ratio, nonparametric, and Bayesian. Few authors also considered the change point problem in other model settings such as the gamma and exponential.




Prior Elicitation in Multiple Change-Point Models


Book Description

This article discusses Bayesian inference in change-point models. The main existing approaches treat all change-points equally, a priori, using either a Uniform prior or an informative hierarchical prior. Both approaches assume a known number of change-points. Some undesirable properties of these approaches are discussed. We develop a new Uniform prior that allows some of the change-points to occur out of sample. This prior has desirable properties, can be interpreted as “noninformative,” and treats the number of change-points as unknown. Artificial and real data exercises show how these different priors can have a substantial impact on estimation and prediction.




Models for Discrete Longitudinal Data


Book Description

The linear mixed model has become the main parametric tool for the analysis of continuous longitudinal data, as the authors discussed in their 2000 book. Without putting too much emphasis on software, the book shows how the different approaches can be implemented within the SAS software package. The authors received the American Statistical Association's Excellence in Continuing Education Award based on short courses on longitudinal and incomplete data at the Joint Statistical Meetings of 2002 and 2004.




Research Papers in Statistical Inference for Time Series and Related Models


Book Description

This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.