Factorized Binary Search: change point detection in the network structure of multivariate high-dimensional time series
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因子化二分搜索:高维多变量时间序列网络结构的变点检测AI 解读 ↓
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Functional magnetic resonance imaging (fMRI) time series data presents a unique opportunity to understand the behavior of temporal brain connectivity, and models that uncover the complex dynamic workings of this organ are of keen interest in neuroscience. We are motivated to develop accurate change point detection and network estimation techniques for high-dimensional whole-brain fMRI data. To this end, we introduce factorized binary search (FaBiSearch), a novel change point detection method in the network structure of multivariate high-dimensional time series in order to understand the large-scale characterizations and dynamics of the brain. FaBiSearch employs non-negative matrix factorization, an unsupervised dimension reduction technique, and a new binary search algorithm to identify multiple change points. In addition, we propose a new method for network estimation for data between change points. We seek to understand the dynamic mechanism of the brain, particularly for two fMRI data sets. The first is a resting-state fMRI experiment, where subjects are scanned over three visits. The second is a task-based fMRI experiment, where subjects read Chapter 9 of Harry Potter and the Sorcerer's Stone. For the resting-state data set, we examine the test-retest behavior of dynamic functional connectivity, while for the task-based data set, we explore network dynamics during the reading and whether change points across subjects coincide with key plot twists in the story. Further, we identify hub nodes in the brain network and examine their dynamic behavior. Finally, we make all the methods discussed available in the R package fabisearch on CRAN.
利用神经网络函数估计非线性自回归过程的变点
In this paper, we propose a new test for the detection of a change in a non-linear (auto-)regressive time series as well as a corresponding estimator for the unknown time point of the change. To this end, we consider an at-most-one-change model and approximate the unknown (auto-)regression function by a neuronal network with one hidden layer. It is shown that the test has asymptotic power one for a wide range of alternatives not restricted to changes in the mean of the time…
具有复杂趋势的非平稳多元时间序列时变相关网络分析
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified multiple-testing procedure of time-lagged cross-correlation functions with a fixed or diverging number of lags, our method can accurately disclose flexible time-varying network structures associated with complex functional structures at…
基于深度神经网络 GAN 的时间序列分布估计与变点估计
The generative adversarial networks (GANs) have recently been applied to estimating the distribution of independent and identically distributed data, and have attracted a lot of research attention. In this paper, we use the blocking technique to demonstrate the effectiveness of GANs for estimating the distribution of stationary time series. Theoretically, we derive a non-asymptotic error bound for the Deep Neural Network (DNN)-based GANs estimator for the stationary…
具有结构突变的动态半参数因子模型
For the change-point analysis of a high-dimensional time series, we consider a semiparametric model with dynamic structural break factors. With our model, the observations are described by a few low-dimensional factors with time-invariant loading functions of the covariates. Regarding the structural break, the factors are assumed to be nonstationary and follow a vector autoregression process with a change in the parameter values. In addition, to account for the known spatial…
时间序列分析在天文学和气象学中的应用
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Wigner 矩阵时间序列的相变监测
We develop methodology and theory for the detection of a phase transition in a time-series of high-dimensional random matrices. In the model we study, at each time point \( t = 1,2,\ldots \), we observe a deformed Wigner matrix \( \mathbf{M}_t \), where the unobservable deformation represents a latent signal. This signal is detectable only in the supercritical regime, and our objective is to detect the transition to this regime in real time, as new matrix--valued…