Change-Point Detection With Multivariate Repeated Measures

Abstract: Graph-based methods have shown particular strengths in change-point detection (CPD) tasks for high-dimensional nonparametric settings. However, existing CPD research has rarely addressed data with repeated measurements or local group structures. A common treatment is to average repeated measurements, which can result in the loss of important within-individual information. In this paper, we propose a new graph-based method for detecting change-points in data with repeated measurements or local structures by incorporating both within-individual and between-individual information. Analytical approximations to the significance of the proposed statistics are derived, enabling efficient computation of p-values for the combined test statistic. The proposed method effectively detects change-points across a wide range of alternatives, particularly when within-individual differences are present. The new method is illustrated through an analysis of the New York City taxi dataset.