A nonparametric method for gradual change problems with statistical guarantees

Part of Advances in Neural Information Processing Systems 34 pre-proceedings (NeurIPS 2021)

Paper

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Authors

Lizhen Nie, Dan Nicolae

Abstract

We consider the detection and localization of gradual changes in the distribution of a sequence of time-ordered observations. Existing literature focuses mostly on the simpler abrupt setting which assumes a discontinuity jump in distribution, and is unrealistic for some applied settings. We propose a general method for detecting and localizing gradual changes that does not require any specific data generating model, any particular data type, or any prior knowledge about which features of the distribution are subject to change. Despite relaxed assumptions, the proposed method possesses proven theoretical guarantees for both detection and localization.