A Selective Review on Information Criteria in Multiple Change Point Detection
Résumé
Change points indicate significant shifts in the statistical properties in data streams at some time points. Detecting change points efficiently and effectively are essential for us to understand the underlying data-generating mechanism in modern data streams with versatile parameter-varying patterns. However, it becomes a highly challenging problem to locate multiple change points in the noisy data. Although the Bayesian information criterion has been proven to be an effective way of selecting multiple change points in an asymptotical sense, its finite sample performance could be deficient. In this article, we have reviewed a list of information criterion-based methods for multiple change point detection, including Akaike information criterion, Bayesian information criterion, minimum description length, and their variants, with the emphasis on their practical applications. Simulation studies are conducted to investigate the actual performance of different information criteria in detecting multiple change points with possible model mis-specification for the practitioners. A case study on the SCADA signals of wind turbines is conducted to demonstrate the actual change point detection power of different information criteria. Finally, some key challenges in the development and application of multiple change point detection are presented for future research work.
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