Optimal detection of changepoints with a linear computational cost

TL;DR

This paper introduces a new method for detecting multiple changepoints in large datasets that achieves linear computational cost, significantly improving speed and accuracy over existing methods.

Contribution

A novel algorithm for changepoint detection with linear computational complexity, enabling efficient analysis of large-scale data sets.

Findings

Method is orders of magnitude faster than existing exact algorithms.

Achieves linear time complexity under mild conditions.

Improves accuracy over Binary Segmentation in changepoint detection.

Abstract

We consider the problem of detecting multiple changepoints in large data sets. Our focus is on applications where the number of changepoints will increase as we collect more data: for example in genetics as we analyse larger regions of the genome, or in finance as we observe time-series over longer periods. We consider the common approach of detecting changepoints through minimising a cost function over possible numbers and locations of changepoints. This includes several established procedures for detecting changing points, such as penalised likelihood and minimum description length. We introduce a new method for finding the minimum of such cost functions and hence the optimal number and location of changepoints that has a computational cost which, under mild conditions, is linear in the number of observations. This compares favourably with existing methods for the same problem whose computational cost can be quadratic or even cubic. In simulation studies we show that our new method can be orders of magnitude faster than these alternative exact methods. We also compare with the Binary Segmentation algorithm for identifying changepoints, showing that the exactness of our approach can lead to substantial improvements in the accuracy of the inferred segmentation of the data.