A Bayesian approach to estimation of a statistical change-point in the mean parameter for high dimensional non-linear time series

Darrin Speegle; Robert Steward

doi:10.1117/12.2187474

24 August 2015 A Bayesian approach to estimation of a statistical change-point in the mean parameter for high dimensional non-linear time series

Darrin Speegle, Robert Steward

Author Affiliations +

Proceedings Volume 9597, Wavelets and Sparsity XVI; 959717 (2015) https://doi.org/10.1117/12.2187474
Event: SPIE Optical Engineering + Applications, 2015, San Diego, California, United States

Abstract

We propose a semiparametric approach to infer the existence of and estimate the location of a statistical change-point to a nonlinear high dimensional time series contaminated with an additive noise component. In particular, we consider a p―dimensional stochastic process of independent multivariate normal observations where the mean function varies smoothly except at a single change-point. Our approach first involves a dimension reduction of the original time series through a random matrix multiplication. Next, we conduct a Bayesian analysis on the empirical detail coefficients of this dimensionally reduced time series after a wavelet transform. We also present a means to associate confidence bounds to the conclusions of our results. Aside from being computationally efficient and straight forward to implement, the primary advantage of our methods is seen in how these methods apply to a much larger class of time series whose mean functions are subject to only general smoothness conditions.

Citation Download Citation

Darrin Speegle and Robert Steward "A Bayesian approach to estimation of a statistical change-point in the mean parameter for high dimensional non-linear time series", Proc. SPIE 9597, Wavelets and Sparsity XVI, 959717 (24 August 2015); https://doi.org/10.1117/12.2187474

ACCESS THE FULL ARTICLE

INSTITUTIONAL
Select your institution to access the SPIE Digital Library.

SELECT YOUR INSTITUTION

PERSONAL
Sign in with your SPIE account to access your personal subscriptions or to use specific features such as save to my library, sign up for alerts, save searches, etc.

PERSONAL SIGN IN

No SPIE Account? Create one

PURCHASE THIS CONTENT

SUBSCRIBE TO DIGITAL LIBRARY

50 downloads per 1-year subscription

Members: $195

Non-members: $335 ADD TO CART

25 downloads per 1 - year subscription

Members: $145

Non-members: $250 ADD TO CART

PURCHASE SINGLE ARTICLE

Includes PDF, HTML & Video, when available

Members: $17.00

Non-members: $21.00 ADD TO CART

PROCEEDINGS
16 PAGES

DOWNLOAD PAPER SAVE TO MY LIBRARY

GET CITATION

RIGHTS & PERMISSIONS

Get copyright permission Get copyright permission on Copyright Marketplace

KEYWORDS

Statistical analysis

Dimension reduction

Signal to noise ratio

Discrete wavelet transforms

Matrix multiplication

Wavelets

Cameras

Show All Keywords

Keywords/Phrases

Search In:

Publication Years