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• W3100084409 abstract "Detecting changepoints in datasets with many variates is a data science challenge of increasing importance. Motivated by the problem of detecting changes in the incidence of terrorism from a global terrorism database, we propose a novel approach to multiple changepoint detection in multivariate time series. Our method, which we call SUBSET, is a model-based approach which uses a penalised likelihood to detect changes for a wide class of parametric settings. We provide theory that guides the choice of penalties to use for SUBSET, and that shows it has high power to detect changes regardless of whether only a few variates or many variates change. Empirical results show that SUBSET out-performs many existing approaches for detecting changes in mean in Gaussian data; additionally, unlike these alternative methods, it can be easily extended to non-Gaussian settings such as are appropriate for modelling counts of terrorist events." @default.
• W3100084409 created "2020-11-23" @default.
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• W3100084409 date "2020-11-06" @default.
• W3100084409 modified "2023-10-14" @default.
• W3100084409 title "A computationally efficient, high-dimensional multiple changepoint procedure with application to global terrorism incidence" @default.
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• W3100084409 doi "https://doi.org/10.48550/arxiv.2011.03599" @default.
• W3100084409 hasPublicationYear "2020" @default.
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