Skip to Main content Skip to Navigation
Journal articles

Changepoint detection in the presence of outliers

Abstract : Many traditional methods for identifying changepoints can struggle in the presence of outliers, or when the noise is heavy-tailed. Often they will infer additional changepoints in order to fit the outliers. To overcome this problem, data often needs to be pre-processed to remove outliers, though this is difficult for applications where the data needs to be analysed online. We present an approach to changepoint detection that is robust to the presence of outliers. The idea is to adapt existing penalised cost approaches for detecting changes so that they use loss functions that are less sensitive to outliers. We argue that loss functions that are bounded, such as the classical biweight loss, are particularly suitable - as we show that only bounded loss functions are robust to arbitrarily extreme outliers. We present an efficient dynamic programming algorithm that can find the optimal segmentation under our penalised cost criteria. Importantly, this algorithm can be used in settings where the data needs to be analysed online. We show that we can consistently estimate the number of changepoints, and accurately estimate their locations, using the biweight loss function. We demonstrate the usefulness of our approach for applications such as analysing well-log data, detecting copy number variation, and detecting tampering of wireless devices.
Document type :
Journal articles
Complete list of metadata

Cited literature [33 references]  Display  Hide  Download
Contributor : Migration Prodinra <>
Submitted on : Tuesday, May 26, 2020 - 5:29:31 AM
Last modification on : Friday, February 5, 2021 - 4:12:04 PM


2019_Fearnhead_J Am Stat Assoc...
Publisher files allowed on an open archive


Distributed under a Creative Commons Attribution 4.0 International License



Paul Fearnhead, Guillem Rigaill. Changepoint detection in the presence of outliers. Journal of the American Statistical Association, Taylor & Francis, 2019, 114 (525), pp.169-183. ⟨10.1080/01621459.2017.1385466⟩. ⟨hal-02622377⟩



Record views


Files downloads