Robust mean change point testing in high-dimensional data with heavy tails

Li, Mengchu, Chen, Yudong ORCID: 0000-0002-3034-4651, Wang, Tengyao ORCID: 0000-0003-2072-6645 and Yi, Yu (2025) Robust mean change point testing in high-dimensional data with heavy tails. IEEE Transactions on Information Theory. ISSN 0018-9448

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Abstract

We study mean change point testing problems for high-dimensional data, with exponentially- or polynomially-decaying tails. In each case, depending on the ℓ0-norm of the mean change vector, we separately consider dense and sparse regimes. We characterise the boundary between the dense and sparse regimes under the above two tail conditions for the first time in the change point literature and propose novel testing procedures that attain optimal rates in each of the four regimes up to a poly-iterated logarithmic factor. To be specific, when the error distributions possess exponentially-decaying tails, a near-optimal CUSUM-type statistic is considered. As for polynomially-decaying tails, admitting bounded α-th moments for some α ≥ 4, we introduce a median-ofmeans-type test statistic that achieves a near-optimal testing rate in both dense and sparse regimes. Our investigation in the even more challenging case of 2 ≤ α < 4, unveils a new phenomenon that the minimax testing rate has no sparse regime, i.e. testing sparse changes is information-theoretically as hard as testing dense changes. Finally, we consider various extensions where we also obtain near-optimal performances, including testing against multiple change points, allowing temporal dependence as well as fewer than two finite moments in the data generating mechanisms. We also show how sub-Gaussian rates can be achieved when an additional minimal spacing condition is imposed under the alternative hypothesis.

Item Type:	Article
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics
Date Deposited:	14 Nov 2025 10:42
Last Modified:	14 Nov 2025 10:42
URI:	http://eprints.lse.ac.uk/id/eprint/130166

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