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Computing Valid p-value for Optimal Changepoint by Selective Inference using Dynamic Programming
Vo Nguyen Le Duy · Hiroki Toda · Ryota Sugiyama · Ichiro Takeuchi

Thu Dec 10 09:00 PM -- 11:00 PM (PST) @ Poster Session 6 #1759

Although there is a vast body of literature related to methods for detecting change-points (CPs), less attention has been paid to assessing the statistical reliability of the detected CPs. In this paper, we introduce a novel method to perform statistical inference on the significance of the CPs, estimated by a Dynamic Programming (DP)-based optimal CP detection algorithm. Our main idea is to employ a Selective Inference (SI) approach---a new statistical inference framework that has recently received a lot of attention---to compute exact (non-asymptotic) valid p-values for the detected optimal CPs. Although it is well-known that SI has low statistical power because of over-conditioning, we address this drawback by introducing a novel method called parametric DP, which enables SI to be conducted with the minimum amount of conditioning, leading to high statistical power. We conduct experiments on both synthetic and real-world datasets, through which we offer evidence that our proposed method is more powerful than existing methods, has decent performance in terms of computational efficiency, and provides good results in many practical applications.

Author Information

Vo Nguyen Le Duy (Nagoya Institute of Technology / RIKEN)
Hiroki Toda (Nagoya Institute of Technology)
Ryota Sugiyama (Nagoya Institute of Technology)
Ichiro Takeuchi (Nagoya Institute of Technology)

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