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arXiv:1907.05409 [stat.ML]AbstractReferencesReviewsResources

Change point detection for graphical models in presence of missing values

Malte Londschien, Solt Kovács, Peter Bühlmann

Published 2019-07-11Version 1

We propose estimation methods for change points in high-dimensional covariance structures with an emphasis on challenging scenarios with missing values. We advocate three imputation like methods and investigate their implications on common losses used for change point detection. We also discuss how model selection methods have to be adapted to the setting of incomplete data. The methods are compared in a simulation study and applied to real data examples from environmental monitoring systems as well as financial time series.

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