The Annals of Statistics

Change-point detection in multinomial data with a large number of categories

Guanghui Wang, Changliang Zou, and Guosheng Yin

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We consider a sequence of multinomial data for which the probabilities associated with the categories are subject to abrupt changes of unknown magnitudes at unknown locations. When the number of categories is comparable to or even larger than the number of subjects allocated to these categories, conventional methods such as the classical Pearson’s chi-squared test and the deviance test may not work well. Motivated by high-dimensional homogeneity tests, we propose a novel change-point detection procedure that allows the number of categories to tend to infinity. The null distribution of our test statistic is asymptotically normal and the test performs well with finite samples. The number of change-points is determined by minimizing a penalized objective function based on segmentation, and the locations of the change-points are estimated by minimizing the objective function with the dynamic programming algorithm. Under some mild conditions, the consistency of the estimators of multiple change-points is established. Simulation studies show that the proposed method performs satisfactorily for identifying change-points in terms of power and estimation accuracy, and it is illustrated with an analysis of a real data set.

Article information

Ann. Statist., Volume 46, Number 5 (2018), 2020-2044.

Received: December 2016
Revised: July 2017
First available in Project Euclid: 17 August 2018

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62H15: Hypothesis testing
Secondary: 62H12: Estimation

Asymptotic normality categorical data high-dimensional homogeneity test multiple change-point detection sparse contingency table


Wang, Guanghui; Zou, Changliang; Yin, Guosheng. Change-point detection in multinomial data with a large number of categories. Ann. Statist. 46 (2018), no. 5, 2020--2044. doi:10.1214/17-AOS1610.

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Supplemental materials

  • Supplement to “Change-point detection in multinomial data with a large number of categories”. The Supplementary Material contains all theoretical proofs of Theorems 1–5, Proposition 1 and Corollary 1 and additional simulation results.