Nonparametric Detection of Multiple Location-Scale Change Points via Wild Binary Segmentation (2107.01742v1)

Abstract: While parametric multiple change point detection has been widely studied, less attention has been given to the nonparametric task of detecting multiple change points in a sequence of observations when their distribution is unknown. Most existing work on this topic is either based on penalized cost functions which can suffer from false positive detections, or on binary segmentation which can fail to detect certain configurations of change points. We introduce a new approach to change point detection which adapts the recently proposed Wild Binary Segmentation (WBS) procedure to a nonparametric setting. Our approach is based on the use of rank based test statistics which are especially powerful at detecting changes in location and/or scale. We show via simulation that the resulting nonparametric WBS procedure has favorable performance compared to existing methods, particularly when it comes to detecting changes in scale. We apply our procedure to study a problem in stylometry involving change points in an author's writing style, and provide a full implementation of our algorithm in an associated R package.