GRACE: A General, Exact Changepoint Calculus

Abstract: Most changepoint procedures fix segment forms and boundary relationships before estimating changepoint locations. We introduce GRACE, the General Regime-Aware Changepoint Estimator, for an $\ell_0$-penalized problem that jointly selects the number and locations of changepoints, segment forms, transition types, and continuous parameters. A transition depends on the preceding fit only through the quantities it inherits. GRACE retains accumulated cost conditional on these quantities, using joint envelopes when several must be inherited together. This yields an exact conditional-cost calculus for transitions that preserve, release, or fix finitely many boundary parameters. Optimal partitioning, FPOP, and CPOP arise as special cases. CPOP motivates the construction: its level-conditioned cost supports continuous piecewise-linear fitting but cannot represent a discontinuous level shift preserving the incoming slope, because optimality over endpoint level need not imply optimality over slope. GRACE profiles each generated linear candidate at fixed level and at fixed slope before pruning either envelope. The two envelopes support continuous slope changes, level shifts preserving slope, constant regimes, trend termination and resumption, and complete resets within one exact optimization. Under least squares, finite-dimensional linear-basis models with affine boundary relationships yield quadratic candidate costs. We establish exactness of the general recursion and develop functional, penalty-based, and objective-bound pruning rules. Polynomial and seasonal specializations illustrate the framework, whose recursion permits substantial parallel computation.