A Comparison of Single and Multiple Changepoint Techniques for Time Series Data

Shi, Xueheng and Gallagher, Colin and Lund, Robert and Killick, Rebecca (2022) A Comparison of Single and Multiple Changepoint Techniques for Time Series Data. Computational Statistics and Data Analysis, 170: 107433. ISSN 0167-9473

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Abstract

This paper describes and compares several prominent single and multiple changepoint techniques for time series data. Due to their importance in inferential matters, changepoint research on correlated data has accelerated recently. Unfortunately, small perturbations in model assumptions can drastically alter changepoint conclusions; for example, heavy positive correlation in a time series can be misattributed to a mean shift should correlation be ignored. This paper considers both single and multiple changepoint techniques. The paper begins by examining cumulative sum (CUSUM) and likelihood ratio tests and their variants for the single changepoint problem; here, various statistics, boundary cropping scenarios, and scaling methods (e.g., scaling to an extreme value or Brownian Bridge limit) are compared. A recently developed test based on summing squared CUSUM statistics over all times is shown to have realistic Type I errors and superior detection power. The paper then turns to the multiple changepoint setting. Here, penalized likelihoods drive the discourse, with AIC, BIC, mBIC, and MDL penalties being considered. Binary and wild binary segmentation techniques are also compared. We introduce a new distance metric specifically designed to compare two multiple changepoint segmentations. Algorithmic and computational concerns are discussed and simulations are provided to support all conclusions. In the end, the multiple changepoint setting admits no clear methodological winner, performance depending on the particular scenario. Nonetheless, some practical guidance will emerge.