Changepoint detection on a graph of time series
File(s)23-BA1365.pdf (726.44 KB)
Published version
Author(s)
Hallgren, Karl L
Heard, Nicholas A
Turcotte, Melissa JM
Type
Journal Article
Abstract
When analysing multiple time series that may be subject to changepoints, it is sometimes possible to specify a priori, by means of a graph, which pairs of time series are likely to be impacted by simultaneous changepoints. This article proposes an informative prior for changepoints which encodes the information contained in the graph, inducing a changepoint model for multiple time series that borrows strength across clusters of connected time series to detect weak signals for synchronous changepoints. The graphical model for changepoints is further extended to allow dependence between nearby but not necessarily synchronous changepoints across neighbouring time series in the graph. A novel reversible jump Markov chain Monte Carlo (MCMC) algorithm making use of auxiliary variables is proposed to sample from the graphical changepoint model. The merit of the proposed approach is demonstrated through a changepoint analysis of computer network authentication logs from Los Alamos National Laboratory (LANL), demonstrating an improvement at detecting weak signals for network intrusions across users linked by network connectivity, whilst limiting the number of false alerts.
Date Issued
2023-01-01
Date Acceptance
2023-01-01
Citation
Bayesian Analysis, 2023, -, pp.1-28
ISSN
1936-0975
Publisher
Institute of Mathematical Statistics
Start Page
1
End Page
28
Journal / Book Title
Bayesian Analysis
Volume
-
Copyright Statement
© 2023 International Society for Bayesian Analysis. Rights: Creative Commons Attribution 4.0 International License.
License URL
Identifier
https://projecteuclid.org/journals/bayesian-analysis/volume--1/issue--1/Changepoint-Detection-on-a-Graph-of-Time-Series/10.1214/23-BA1365.full
Publication Status
Published online
Date Publish Online
2023-01-31