Locally adaptive change-point detection (LACPD) with applications to environmental changes

Abstract

AbstractWe propose an adaptive-sliding-window approach (LACPD) for the problem of change-point detection in a set of time-ordered observations. The proposed method is combined with sub-sampling techniques to compensate for the lack of enough data near the time series’ tails. Through a simulation study, we analyse its behaviour in the presence of an early/middle/late change-point in the mean, and compare its performance with some of the frequently used and recently developed change-point detection methods in terms of power, type I error probability, area under the ROC curves (AUC), absolute bias, variance, and root-mean-square error (RMSE). We conclude that LACPD outperforms other methods by maintaining a low type I error probability. Unlike some other methods, the performance of LACPD does not depend on the time index of change-points, and it generally has lower bias than other alternative methods. Moreover, in terms of variance and RMSE, it outperforms other methods when change-points are close to the time series’ tails, whereas it shows a similar (sometimes slightly poorer) performance as other methods when change-points are close to the middle of time series. Finally, we apply our proposal to two sets of real data: the well-known example of annual flow of the Nile river in Awsan, Egypt, from 1871 to 1970, and a novel remote sensing data application consisting of a 34-year time-series of satellite images of the Normalised Difference Vegetation Index in Wadi As-Sirham valley, Saudi Arabia, from 1986 to 2019. We conclude that LACPD shows a good performance in detecting the presence of a change as well as the time and magnitude of change in real conditions.