Estimating the number of change-points in a two-dimensional segmentation model without penalization

In computational biology, numerous recent studies have been dedicated to the analysis of the chromatin structure within the cell by two-dimensional segmentation methods. Motivated by this application, we consider the problem of retrieving the diagonal blocks in a matrix of observations. The theoretical properties of the least-squares estimators of both the boundaries and the number of blocks proposed by L\'evy-Leduc et al. [2014] are investigated. More precisely, the contribution of the paper is to establish the consistency of these estimators. A surprising consequence of our results is that, contrary to the onedimensional case, a penalty is not needed for retrieving the true number of diagonal blocks. Finally, the results are illustrated on synthetic data.Comment: 30 pages, 8 figure

Editorial du numéro spécial sur la détection de ruptures

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Frequency estimation based on the cumulated Lomb-Scargle periodogram

We consider the problem of estimating the period of an unknown periodic function observed in additive Gaussian noise sampled at irregularly spaced time instants in a semiparametric setting. To solve this problem, we propose a novel estimator based on the cumulated Lomb-Scargle periodogram. We prove that this estimator is consistent, asymptotically Gaussian and we provide an explicit expression of the asymptotic variance. Some Monte Carlo experiments are then presented to support our claims. Copyright 2008 The Authors. Journal compilation 2008 Blackwell Publishing Ltd

Robust estimation of periodic autoregressive processes in the presence of additive outliers

This paper suggests a robust estimation procedure for the parameters of the periodic AR (PAR) models when the data contains additive outliers. The proposed robust methodology is an extension of the robust scale and covariance functions given in, respectively, Rousseeuw and Croux (1993) [28], and Ma and Genton (2000) [23] to accommodate periodicity. These periodic robust functions are used in the Yule-Walker equations to obtain robust parameter estimates. The asymptotic central limit theorems of the estimators are established, and an extensive Monte Carlo experiment is conducted to evaluate the performance of the robust methodology for periodic time series with finite sample sizes. The quarterly Fraser River data was used as an example of application of the proposed robust methodology. All the results presented here give strong motivation to use the methodology in practical situations in which periodically correlated time series contain additive outliers.Additive outliers PAR model Periodicity Robustness Influence function

Variable selection in sparse GLARMA models

arXiv admin note: substantial text overlap with arXiv:1907.07085In this paper, we propose a novel and efficient two-stage variable selection approach for sparse GLARMA models, which are pervasive for modeling discrete-valued time series. Our approach consists in iteratively combining the estimation of the autoregressive moving average (ARMA) coefficients of GLARMA models with regularized methods designed for performing variable selection in regression coefficients of Generalized Linear Models (GLM). We first establish the consistency of the ARMA part coefficient estimators in a specific case. Then, we explain how to efficiently implement our approach. Finally, we assess the performance of our methodology using synthetic data and compare it with alternative methods. Our approach is very attractive since it benefits from a low computational load and is able to outperform the other methods in terms of coefficient estimation, particularly in recovering the non null regression coefficients