g13naf detects change points in a univariate time series, that is, the time points at which some feature of the data, for example the mean, changes. Change points are detected using the PELT (Pruned Exact Linear Time) algorithm using one of a provided set of cost functions.
The routine may be called by the names g13naf or nagf_tsa_cp_pelt.
Let denote a series of data and denote a set of ordered (strictly monotonic increasing) indices known as change points with and . For ease of notation we also define . The change points, , split the data into segments, with the th segment being of length and containing .
Given a cost function, g13naf solves
where is a penalty term used to control the number of change points. This minimization is performed using the PELT algorithm of Killick et al. (2012). The PELT algorithm is guaranteed to return the optimal solution to (1) if there exists a constant such that
for all .
g13naf supplies four families of cost function. Each cost function assumes that the series, , comes from some distribution, . The parameter space, is subdivided into containing those parameters allowed to differ in each segment and those parameters treated as constant across all segments. All four cost functions can then be described in terms of the likelihood function, and are given by:
where is the maximum likelihood estimate of within the th segment. In all four cases setting satisfies equation (2). Four distributions are available: Normal, Gamma, Exponential and Poisson. Letting
the log-likelihoods and cost functions for the four distributions, and the available subdivisions of the parameter space are:
Both mean and variance change:
when calculating for the Poisson distribution, the sum is calculated for rather than .
Chen J and Gupta A K (2010) Parametric Statistical Change Point Analysis With Applications to GeneticsMedicine and FinanceSecond Edition Birkhäuser
Killick R, Fearnhead P and Eckely I A (2012) Optimal detection of changepoints with a linear computational cost Journal of the American Statistical Association107:500 1590–1598
1: – IntegerInput
On entry: a flag indicating the assumed distribution of the data and the type of change point being looked for.
Data from a Normal distribution, looking for changes in the mean, .
Data from a Normal distribution, looking for changes in the standard deviation .
Data from a Normal distribution, looking for changes in the mean, and standard deviation .
Data from a Gamma distribution, looking for changes in the scale parameter .
Data from an exponential distribution, looking for changes in .
Data from a Poisson distribution, looking for changes in .
, , , , or .
2: – IntegerInput
On entry: , the length of the time series.
3: – Real (Kind=nag_wp) arrayInput
On entry: , the time series.
if , that is the data is assumed to come from a Poisson distribution, is used in all calculations.
if , or , , for ;
if , each value of y must be representable as an integer;
if , each value of y must be small enough such that, for , can be calculated without incurring overflow.
4: – Real (Kind=nag_wp)Input
On entry: , the penalty term.
There are a number of standard ways of setting , including:
SIC or BIC
where is the number of parameters being treated as estimated in each segment. This is usually set to when and otherwise.
If no penalty is required then set . Generally, the smaller the value of the larger the number of suggested change points.
5: – IntegerInput
On entry: the minimum distance between two change points, that is .
6: – IntegerInput
On entry: if distributional parameters have been supplied in param.
if , ;
otherwise or .
7: – Real (Kind=nag_wp) arrayInput
On entry: , values for the parameters that will be treated as fixed. If then param is not referenced.
If supplied, then when
, the standard deviation of the normal distribution. If not supplied then is estimated from the full input data,
, the mean of the normal distribution. If not supplied then is estimated from the full input data,
must hold the shape, , for the gamma distribution,
On entry: ifail must be set to , . If you are unfamiliar with this argument you should refer to Section 4 in the Introduction to the NAG Library FL Interface for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value is recommended. If the output of error messages is undesirable, then the value is recommended. Otherwise, if you are not familiar with this argument, the recommended value is . When the value is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
On entry, .
Constraint: , , , , or .
On entry, . Constraint: .
On entry, and . Constraint: if , or then , for .
On entry, , is too large.
On entry, . Constraint: .
On entry, . Constraint: if then or .
On entry, . Constraint: if then .
On entry, and . Constraint: if or and , then .
To avoid overflow some truncation occurred when calculating the cost function, . All output is returned as normal.
To avoid overflow some truncation occurred when calculating the parameter estimates returned in sparam. All output is returned as normal.
An unexpected error has been triggered by this routine. Please
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
For efficiency reasons, when calculating the cost functions, and the parameter estimates returned in sparam, this routine makes use of the mathematical identities:
The input data, , is scaled in order to try and mitigate some of the known instabilities associated with using these formulations. The results returned by g13naf should be sufficient for the majority of datasets. If a more stable method of calculating is deemed necessary, g13nbf can be used and the method chosen implemented in the user-supplied cost function.
8Parallelism and Performance
g13naf is not threaded in any implementation.
This example identifies changes in the mean, under the assumption that the data is normally distributed, for a simulated dataset with observations. A BIC penalty is used, that is , the minimum segment size is set to and the variance is fixed at across the whole input series.