TY - JOUR

T1 - gfpop

T2 - An R Package for Univariate Graph-Constrained Change-Point Detection

AU - Runge, Vincent

AU - Hocking, Toby Dylan

AU - Romano, Gaetano

AU - Afghah, Fatemeh

AU - Fearnhead, Paul

AU - Rigaill, Guillem

N1 - Publisher Copyright:
© 2023, American Statistical Association. All rights reserved.

PY - 2023

Y1 - 2023

N2 - In a world with data that change rapidly and abruptly, it is important to detect those changes accurately. In this paper we describe an R package implementing a generalized version of an algorithm recently proposed by Hocking, Rigaill, Fearnhead, and Bourque (2020) for penalized maximum likelihood inference of constrained multiple change-point models. This algorithm can be used to pinpoint the precise locations of abrupt changes in large data sequences. There are many application domains for such models, such as medicine, neuroscience or genomics. Often, practitioners have prior knowledge about the changes they are looking for. For example in genomic data, biologists sometimes expect peaks: up changes followed by down changes. Taking advantage of such prior information can substantially improve the accuracy with which we can detect and estimate changes. Hocking et al. (2020) described a graph framework to encode many examples of such prior information and a generic algorithm to infer the optimal model parameters, but implemented the algorithm for just a single scenario. We present the gfpop package that implements the algorithm in a generic manner in R/C++. gfpop works for a user-defined graph that can encode prior assumptions about the types of changes that are possible and implements several loss functions (Gauss, Poisson, binomial, biweight, and Huber). We then illustrate the use of gfpop on isotonic simulations and several applications in biology. For a number of graphs the algorithm runs in a matter of seconds or minutes for 105 data points.

AB - In a world with data that change rapidly and abruptly, it is important to detect those changes accurately. In this paper we describe an R package implementing a generalized version of an algorithm recently proposed by Hocking, Rigaill, Fearnhead, and Bourque (2020) for penalized maximum likelihood inference of constrained multiple change-point models. This algorithm can be used to pinpoint the precise locations of abrupt changes in large data sequences. There are many application domains for such models, such as medicine, neuroscience or genomics. Often, practitioners have prior knowledge about the changes they are looking for. For example in genomic data, biologists sometimes expect peaks: up changes followed by down changes. Taking advantage of such prior information can substantially improve the accuracy with which we can detect and estimate changes. Hocking et al. (2020) described a graph framework to encode many examples of such prior information and a generic algorithm to infer the optimal model parameters, but implemented the algorithm for just a single scenario. We present the gfpop package that implements the algorithm in a generic manner in R/C++. gfpop works for a user-defined graph that can encode prior assumptions about the types of changes that are possible and implements several loss functions (Gauss, Poisson, binomial, biweight, and Huber). We then illustrate the use of gfpop on isotonic simulations and several applications in biology. For a number of graphs the algorithm runs in a matter of seconds or minutes for 105 data points.

KW - change-point detection

KW - constrained inference

KW - dynamic programming

KW - maximum likelihood inference

KW - robust losses

UR - http://www.scopus.com/inward/record.url?scp=85152666905&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85152666905&partnerID=8YFLogxK

U2 - 10.18637/jss.v106.i06

DO - 10.18637/jss.v106.i06

M3 - Article

AN - SCOPUS:85152666905

SN - 1548-7660

VL - 106

JO - Journal of Statistical Software

JF - Journal of Statistical Software

ER -