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    Change-point detection in high-dimensional covariance structure
    (Ithaca, NY : Cornell University Library, 2018) Avanesov, Valeriy; Buzun, Nazar
    In this paper we introduce a novel approach for an important problem of break detection. Specifically, we are interested in detection of an abrupt change in the covariance structure of a high-dimensional random process – a problem, which has applications in many areas e.g., neuroimaging and finance. The developed approach is essentially a testing procedure involving a choice of a critical level. To that end a non-standard bootstrap scheme is proposed and theoretically justified under mild assumptions. Theoretical study features a result providing guaranties for break detection. All the theoretical results are established in a high-dimensional setting (dimensionality p≫n). Multiscale nature of the approach allows for a trade-off between sensitivity of break detection and localization. The approach can be naturally employed in an on-line setting. Simulation study demonstrates that the approach matches the nominal level of false alarm probability and exhibits high power, outperforming a recent approach.
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    Nonequilibrium phase transitions in finite arrays of globally coupled Stratonovich models: Strong coupling limit
    (College Park, MD : Institute of Physics Publishing, 2009) Senf, F.; Altrock, P.M.; Behn, U.
    A finite array of N globally coupled Stratonovich models exhibits a continuous nonequilibrium phase transition. In the limit of strong coupling, there is a clear separation of timescales of centre of mass and relative coordinates. The latter relax very fast to zero and the array behaves as a single entity described by the centre of mass coordinate. We compute analytically the stationary probability distribution and the moments of the centre of mass coordinate. The scaling behaviour of the moments near the critical value of the control parameter ac(N) is determined. We identify a crossover from linear to square root scaling with increasing distance from ac. The crossover point approaches ac in the limit N →∞ which reproduces previous results for infinite arrays. Our results are obtained in both the Fokker-Planck and the Langevin approach and are corroborated by numerical simulations. For a general class of models we show that the transition manifold in the parameter space depends on N and is determined by the scaling behaviour near a fixed point of the stochastic flow. © IOP Publishing Ltd and Deutsche Physikalische Gesellschaft.