Pruning and Nonparametric Multiple Change Point Detection

Wenyu Zhang, Nicholas A. James, David S. Matteson

Abstract: Change point analysis is a statistical tool to identify homogeneity within time series data. We propose a pruning approach for approximate nonparametric estimation of multiple change points. This general purpose change point detection procedure 'cp3o' applies a pruning routine within a dynamic program to greatly reduce the search space and computational costs. Existing goodness-of-fit change point objectives can immediately be utilized within the framework. We further propose novel change point algorithms by applying cp3o to two popular nonparametric goodness of fit measures: 'e-cp3o' uses E-statistics, and 'ks-cp3o' uses Kolmogorov-Smirnov statistics. Simulation studies highlight the performance of these algorithms in comparison with parametric and other nonparametric change point methods. Finally, we illustrate these approaches with climatological and financial applications.