Consistent detection and estimation of multiple structural changes in functional data: unsupervised and supervised approaches

TL;DR

This paper introduces algorithms for detecting and estimating multiple structural changes in functional data using maximum mean discrepancy, applicable in unsupervised, supervised, and semi-supervised settings, with proven consistency and superior performance.

Contribution

The paper presents novel algorithms for changepoint detection in functional data that work across different supervision scenarios and provides theoretical analysis of their consistency and properties.

Findings

Algorithms effectively detect distributional changes in functional data.

Proposed methods outperform existing approaches in various datasets.

Theoretical analysis confirms the consistency of changepoint estimators.

Abstract

We develop algorithms for detecting multiple changepoints in functional data when the number of changepoints is unknown (unsupervised case), when it is specified apriori (supervised case), and when certain bounds are available (semi-supervised case). These algorithms utilize the maximum mean discrepancy (MMD) measure between distributions on Hilbert spaces. We develop an oracle analysis of the changepoint detection problem which reveals an interesting relationship between the true changepoint locations and the local maxima of the oracle MMD curve. The proposed algorithms are shown to detect general distributional changes by exploiting this connection. In the unsupervised case, we test the significance of a potential changepoint and establish its consistency under the single changepoint setting. We investigate the strong consistency of the changepoint estimators in both single and multiple changepoint settings. In both supervised and semi-supervised scenarios, we include a step to merge consecutive groups that are similar to appropriately utilize the prior information about the number of changepoints. In the supervised scenario, the algorithm satisfies an order-preserving property: the estimated changepoints are contained in the true set of changepoints in the underspecified case, while they contain the true set under overspecification. We evaluate the performance of the algorithms on a variety of datasets demonstrating the superiority of the proposed algorithms compared to some of the existing methods.