Abstract
Change-point detection in abrupt change models is a very challenging research topic in many fields of both methodological and applied Statistics. Due to strong irregularities, discontinuity and non-smootheness, likelihood based procedures are awkward; for instance, usual optimization methods do not work, and grid search algorithms represent the most used approach for estimation. In this paper a heuristic, iterative algorithm for approximate maximum likelihood estimation is introduced for change-point detection in piecewise constant regression models. The algorithm is based on iterative fitting of simple linear models, and appears to extend easily to more general frameworks, such as models including continuous covariates with possible ties, distinct change-points referring to different covariates, and further covariates without change-point. In these scenarios grid search algorithms do not straightforwardly apply. The proposed algorithm is validated through some simulation studies and applied to two real datasets.
Similar content being viewed by others
References
Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J Appl Econom 18(1):1–22
Balke NS (1993) Detecting level shifts in time series. J Bus Econ Stat 11(1):81–92
Banerjee A, Urga G (2005) Modelling structural breaks, long memory and stock market volatility: an overview. J Econom 129(1):1–34
Beaulieu C, Chen J, Sarmiento JL (2012) Change-point analysis as a tool to detect abrupt climate variations. Philos Trans R Soc Lond A Math Phys Eng Sci 370(1962):1228–1249
Blythe DA, von Bunau P, Meinecke FC, Muller K (2012) Feature extraction for change-point detection using stationary subspace analysis. IEEE Trans Neural Netw Learn Syst 23(4):631–643
Boysen L, Kempe A, Liebscher V, Munk A, Wittich O (2009) Consistencies and rates of convergence of jump-penalized least squares estimators. Ann Stat 37(1):157–183
Braun JV, Braun R, Müller HG (2000) Multiple changepoint fitting via quasilikelihood, with application to DNA sequence segmentation. Biometrika 87(2):301–314
Cho H, Fryzlewicz P (2012) Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Stat Sin 22(1):207–229
Cobb GW (1978) The problem of the nile: conditional solution to a changepoint problem. Biometrika 65(2):243–251
Donoho DL, Johnstone IM (1995) Adapting to unknown smoothness via wavelet shrinkage. J Am Stat Assoc 90(432):1200–1224
Dumbgen L (1991) The asymptotic behavior of some nonparametric change-point estimators. Ann Stat 19(3):1471–1495
Eilers PH, De Menezes RX (2005) Quantile smoothing of array cgh data. Bioinformatics 21(7):1146–1153
Fearnhead P (2006) Exact and efficient bayesian inference for multiple changepoint problems. Stat Comput 16(2):203–213
Frick K, Munk A, Sieling H (2014) Multiscale change point inference. J R Stat Soc Ser B (Stat Methodol) 76(3):495–580
Fridlyand J, Snijders AM, Pinkel D, Albertson DG, Jain AN (2004) Hidden markov models approach to the analysis of array cgh data. J Multivar Anal 90(1):132–153
Friedrich F, Kempe A, Liebscher V, Winkler G (2008) Complexity penalized m-estimation: fast computation. J Comput Graph Stat 17(1):201–224
Guha S, Li Y, Neuberg D (2008) Bayesian hidden markov modeling of array cgh data. J Am Stat Assoc 103(482):485–497
Hawkins DM (2001) Fitting multiple change-point models to data. Comput Stat Data Anal 37(3):323–341
Horváth L (1993) The maximum likelihood method for testing changes in the parameters of normal observations. Ann Stat 21(2):671–680
Hsu L, Self SG, Grove D, Randolph T, Wang K, Delrow JJ, Loo L, Porter P (2005) Denoising array-based comparative genomic hybridization data using wavelets. Biostatistics 6(2):211–226
Huang T, Wu B, Lizardi P, Zhao H (2005) Detection of DNA copy number alterations using penalized least squares regression. Bioinformatics 21(20):3811–3817
Jackson B, Scargle JD, Barnes D, Arabhi S, Alt A, Gioumousis P, Gwin E, Sangtrakulcharoen P, Tan L, Tsai TT (2005) An algorithm for optimal partitioning of data on an interval. IEEE Signal Process Lett 12(2):105–108
Jackson CH, Sharples LD (2004) Models for longitudinal data with censored changepoints. J R Stat Soc Ser C (Appl Stat) 53(1):149–162
Jong K, Marchiori E, Van Der Vaart A, Ylstra B, Weiss M, Meijer G (2003) Chromosomal breakpoint detection in human cancer. In: Cagnoni S et al (eds) Applications of evolutionary computing, Springer, pp 54–65
Killick R, Eckley IA (2014) changepoint: an R package for changepoint analysis. J Stat Softw 58(3):1–19. http://www.jstatsoft.org/v58/i03/
Killick R, Fearnhead P, Eckley I (2012) Optimal detection of changepoints with a linear computational cost. J Am Stat Assoc 107(500):1590–1598
Lavielle M (1999) Detection of multiple changes in a sequence of dependent variables. Stoch Process Appl 83(1):79–102
Loader CR et al (1996) Change point estimation using nonparametric regression. Ann Stat 24(4):1667–1678
Maidstone R, Hocking T, Rigaill G, Fearnhead P (2016) On optimal multiple changepoint algorithms for large data. Stat Comput 27(2):1–15
Muggeo VMR (2003) Estimating regression models with unknown break-points. Stat Med 22(19):3055–3071
Muggeo VMR, Adelfio G (2011) Efficient change point detection for genomic sequences of continuous measurements. Bioinformatics 27(2):161–166
Muggeo VMR, Atkins D, Gallop R, Dimidjian S (2014) Segmented mixed models with random changepoints: a maximum likelihood approach with application to treatment for depression study. Stat Model 14(4):293–313
Olshen AB, Venkatraman E, Lucito R, Wigler M (2004) Circular binary segmentation for the analysis of array-based DNA copy number data. Biostatistics 5(4):557–572
Pastor-Barriuso R, Guallar E, Coresh J (2003) Transition models for change-point estimation in logistic regression. Stat Med 22(7):1141–1162
Pinkel D, Albertson DG (2005) Array comparative genomic hybridization and its applications in cancer. Nat Genet 37:S11–S17
Price TS, Regan R, Mott R, Hedman Å, Honey B, Daniels RJ et al (2005) Sw-array: a dynamic programming solution for the identification of copy-number changes in genomic DNA using array comparative genome hybridization data. Nucleic Acids Res 33(11):3455–3464
R Core Team (2016) R: a language and environment for statistical computing. R Foundation for Statistical Computing, Vienna. https://www.R-project.org/
Rigaill G, Lebarbier E, Robin S (2012) Exact posterior distributions and model selection criteria for multiple change-point detection problems. Stat Comput 22(4):917–929
Rippe RC, Meulman JJ, Eilers PH (2012) Visualization of genomic changes by segmented smoothing using an l0 penalty. PloS One 7(6):e38230
Scott A, Knott M (1974) A cluster analysis method for grouping means in the analysis of variance. Biometrics 30(3):507–512
Siegmund D (2013) Change-points: from sequential detection to biology and back. Seq Anal 32(1):2–14
Tibshirani R, Wang P (2008) Spatial smoothing and hot spot detection for cgh data using the fused lasso. Biostatistics 9(1):18–29
Tishler A, Zang I (1981) A new maximum likelihood algorithm for piecewise regression. J Am Stat Assoc 76(376):980–987
Venkatraman E, Olshen AB (2007) A faster circular binary segmentation algorithm for the analysis of array cgh data. Bioinformatics 23(6):657–663
Venkatraman ES (1992) Consistency results in multiple change-point problems. Ph.D. thesis, to the Department of Statistics, Stanford University
Wang P, Kim Y, Pollack J, Narasimhan B, Tibshirani R (2005) A method for calling gains and losses in array cgh data. Biostatistics 6(1):45–58
Yao YC, Au S (1989) Least-squares estimation of a step function. Sankhyā Indian J Stat Ser A 51(3):370–381
Zeileis A, Hothorn T, Hornik K (2008) Model-based recursive partitioning. J Comput Graph Stat 17(2):492–514
Zhou H, Liang KY (2008) On estimating the change point in generalized linear models. In: Balakrishnan N, Peña EA, Silvapulle MJ (eds) Beyond parametrics in interdisciplinary research: festschrift in honor of professor Pranab K. Sen. IMS collections, vol 1. Institute of Mathematical Statistics, Beachwood, pp 305–320
Acknowledgements
The authors would like to thank the reviewers for their insightful comments and suggestions which greatly improved the paper.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Fasola, S., Muggeo, V.M.R. & Küchenhoff, H. A heuristic, iterative algorithm for change-point detection in abrupt change models. Comput Stat 33, 997–1015 (2018). https://doi.org/10.1007/s00180-017-0740-4
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s00180-017-0740-4