The Asymptotic Distribution for a Single Joinpoint Changepoint Model
By: Xueheng Shi, Robert Lund
Potential Business Impact:
Finds when a pattern in data changes.
A single joinpoint changepoint model partitions a time series into two segments, joined at the changepoint time by constraining the estimated piecewise linear regression responses to be continuous. This manuscript derives the exact asymptotic distribution of the changepoint existence test statistic gauging whether or not a second segment is necessary. The identified asymptotic distribution, a supremum of a Gaussian process over the unit interval, is rather unwieldy. The work presented here provides the result and its derivation; quantiles of the asymptotic distribution are presented for the user. This addresses a subtle gap in the changepoint literature.
Similar Papers
The Asymptotic Distribution for a Single Joinpoint Changepoint Model
Methodology
Finds the exact moment when data changes.
Theoretical guarantees for change localization using conformal p-values
Statistics Theory
Finds when data changes, without guessing its type.
Adaptive Change Point Inference for High Dimensional Time Series with Temporal Dependence
Methodology
Finds sudden changes in many numbers over time.