MOPED: A moving sum method for change point detection in pairwise extremal dependence

It is increasingly the case with modern time series that many data sets of practical interest contain abrupt changes in structure. These changes may occur in complex characteristics such as the extremal dependence structure, and identifying such structural breaks remains a challenging problem. Many existing change point detection algorithms focus on changes in dependence across the entire distribution, rather than the tails, and approaches that are tailored to extremes typically make strict parametric assumptions or they are only applicable to bivariate data. We propose a nonparametric MOving sum-based approach for detecting multiple changes in the Pairwise Extremal Dependence (MOPED) of multivariate regularly varying data. To avoid the classical problem of threshold selection in the study of multivariate extremes, we further propose a multiscale, multi-threshold variant of MOPED that pools change point estimates across choices of the threshold and the bandwidth used in local estimation. Good performance of MOPED is illustrated in a simulation study, and we showcase its ability to identify subtle changes in tail dependence class in the absence of correlation changes. We further demonstrate the usefulness of MOPED by identifying changes in the extremal connectivity of electroencephalogram (EEG) signals of seizure-prone neonates.

Publication Details

Journal
ArXiv.org
Published
2025-08-30
Primary Topic
Geochemistry and Geologic Mapping
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article
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article

MOPED: A moving sum method for change point detection in pairwise extremal dependence

ArXiv.org
Geochemistry and Geologic Mapping
article

MOPED: A moving sum method for change point detection in pairwise extremal dependence

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Abstract

It is increasingly the case with modern time series that many data sets of practical interest contain abrupt changes in structure. These changes may occur in complex characteristics such as the extremal dependence structure, and identifying such structural breaks remains a challenging problem. Many existing change point detection algorithms focus on changes in dependence across the entire distribution, rather than the tails, and approaches that are tailored to extremes typically make strict parametric assumptions or they are only applicable to bivariate data. We propose a nonparametric MOving sum-based approach for detecting multiple changes in the Pairwise Extremal Dependence (MOPED) of multivariate regularly varying data. To avoid the classical problem of threshold selection in the study of multivariate extremes, we further propose a multiscale, multi-threshold variant of MOPED that pools change point estimates across choices of the threshold and the bandwidth used in local estimation. Good performance of MOPED is illustrated in a simulation study, and we showcase its ability to identify subtle changes in tail dependence class in the absence of correlation changes. We further demonstrate the usefulness of MOPED by identifying changes in the extremal connectivity of electroencephalogram (EEG) signals of seizure-prone neonates.

ArXiv.org
Openalex Percentile: Top 53%
Geochemistry and Geologic Mapping
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MOPED: A moving sum method for change point detection in pairwise extremal dependence · ArXiv.org (2025) | TGRS Research Map | TGRS