An R Package for performing kernel change point detection on the running statistics of multivariate time series

Inmany scientific disciplines, researchers are interested in discovering when complex systems such as stock markets, the weather or the human body display abrupt changes. Essentially, this often comes down to detecting whether a multivariate time series contains abrupt changes in one or more statistics, such as means, variances or pairwise correlations. To assist researchers in this endeavor, this paper presents the package for performing kernel change point (KCP) detection on user-selected running statistics of multivariate time series. The running statistics are extracted by sliding a window across the time series and computing the value of the statistic(s) of interest in each window. Next, the similarities of the running values are assessed using a Gaussian kernel, and change points that segment the time series into maximally homogeneous phases are located by minimizing a within-phase variance criterion. To decide on the number of change points, a combination of a permutation-based significance test and a grid search is provided. stands out among the variety of change point detection packages available in because it can be easily adapted to uncover changes in any user-selected statistic without imposing any distribution on the data. To exhibit the usefulness of the package, two empirical examples are provided pertaining to two types of physiological data.

Automated summary

This paper introduces a package for detecting abrupt changes in multivariate time series, where running statistics are extracted by sliding a window and similarities of running values are evaluated using a Gaussian kernel. Change points are determined by minimizing within-phase variance criterion, with a combination of permutation-based significance test and grid search for the number of change points. The package stands out for its adaptability in uncovering changes in user-selected statistics without imposing distribution on the data.