Inference on the Change Point for High Dimensional Dynamic Graphical Models

Abstract

We develop an estimator for the change point parameter for a dynamically evolving graphical model, and also obtain its asymptotic distribution under high dimensional scaling. To procure the latter result, we establish that the proposed estimator exhibits an $O_p({\psi }^{-2})$ rate of convergence, wherein $\psi$ represents the jump size between the graphical model parameters before and after the change point. Further, it retains sufficient adaptivity against plug-in estimates of the graphical model parameters. We characterize the forms of the asymptotic distribution under the both a vanishing and a non-vanishing regime of the magnitude of the jump size. Specifically, in the former case it corresponds to the argmax of a negative drift asymmetric two sided Brownian motion, while in the latter case to the argmax of a negative drift asymmetric two sided random walk, whose increments depend on the distribution of the graphical model. Easy to implement algorithms are provided for estimating the change point and their performance assessed on synthetic data. The proposed methodology is further illustrated on RNA-sequenced microbiome data and their changes between young and older individuals.

Software available upon request (built in R)

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Cited by in corpus (1)

• Segmentation of high dimensional means over multi-dimensional change points and connections to regression trees