Optimal change point detection and localization in sparse dynamic networks
- Date: Friday 2 November 2018, 14:00 – 15:00
- Location: Mathematics Level 8, MALL 1, School of Mathematics
- Type: Seminars, Statistics
- Cost: Free
Yi Yu, University of Bristol. Part of the statistics seminar series.
We study the problem of change point detection and localization in dynamic networks. We assume that we observe a sequence of independent adjacency matrices of given size, each corresponding to one realization from an unknown inhomogeneous Bernoulli model. The underlying distribution of the adjacency matrices may change over a subset of the time points, called change points. Our task is to recover with high accuracy the unknown number and positions of the change points. Our generic model setting allows for all the model parameters to change with the total number of time points, including the network size, the minimal spacing between consecutive change points, the magnitude of the smallest change and the degree of sparsity of the networks.
We first identify an impossible region in the space of the model parameters such that no change point estimator is provably consistent if the data are generated according to parameters falling in that region. We propose a computationally simple novel algorithm for network change point localization, called Network Binary Segmentation, which relies on weighted averages of the adjacency matrices. We show that Network Binary Segmentation is consistent over a range of the model parameters that nearly cover the complement of the impossibility region, thus demonstrating the existence of a phase transition for the problem at hand. Next, we devise a more sophisticated algorithm based on singular value thresholding, called Local Refinement, that delivers more accurate estimates of the change point locations. We show that, under appropriate conditions, Local Refinement guarantees a minimax optimal rate for network change point localization while remaining computationally feasible.