SCAN: Sequentially Detecting Change-points via Adaptive Nonparametric Inference
Abstract
Modern time series are often long, serially dependent, and non-stationary. Existing change-point methods either target specific changes or become computationally intensive when using nonparametric costs on long series. Many also require thresholds to be carefully calibrated under serial dependence. We introduce SCAN, an offline method for detecting multiple distributional change-points in long, serially dependent univariate time series. SCAN compares adjacent windows using an integral probability metric, calibrates local discrepancies with a dependence-aware bootstrap, and refines candidate locations using a scaled 1-Wasserstein criterion, enabling detection of changes in mean, variance, and broader distributional structure within a unified framework. An ensemble over multiple window sizes reduces sensitivity to window size and threshold specification. We establish consistency of the estimated number and locations of change-points under exponential alpha-mixing dependence, and show that the localization statistic reduces to a CUSUM-type statistic under pure mean shifts. In simulations with up to one million observations, SCAN generally achieves higher covering and F1-scores than competing methods across mean and joint mean-variance shifts, particularly under serial dependence. On real data, SCAN identifies labeled activity transitions in sensor data and interpretable structural changes in hourly Bitcoin prices. Implementations are available in the Python package scan-cpd and R package scanr.
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BibTeX
@misc{prabashwara2026scan,
title = {{SCAN: Sequentially Detecting Change-points via Adaptive Nonparametric Inference}},
author = {Ashoka Prabashwara and Patricia Menéndez and Liam Hodgkinson and Stuart Lee},
howpublished = {arXiv},
year = {2026},
month = aug,
doi = {10.48550/arxiv.2608.28110},
eprint = {2608.28110},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2608.28110},
}
RIS
TY - UNPB
TI - SCAN: Sequentially Detecting Change-points via Adaptive Nonparametric Inference
AU - Ashoka Prabashwara
AU - Patricia Menéndez
AU - Liam Hodgkinson
AU - Stuart Lee
PY - 2026
DA - 2026/08/28
PB - arXiv
DO - 10.48550/arxiv.2608.28110
UR - https://arxiv.org/abs/2608.28110
AB - Modern time series are often long, serially dependent, and non-stationary. Existing change-point methods either target specific changes or become computationally intensive when using nonparametric costs on long series. Many also require thresholds to be carefully calibrated under serial dependence. We introduce SCAN, an offline method for detecting multiple distributional change-points in long, serially dependent univariate time series. SCAN compares adjacent windows using an integral probability metric, calibrates local discrepancies with a dependence-aware bootstrap, and refines candidate locations using a scaled 1-Wasserstein criterion, enabling detection of changes in mean, variance, and broader distributional structure within a unified framework. An ensemble over multiple window sizes reduces sensitivity to window size and threshold specification. We establish consistency of the estimated number and locations of change-points under exponential alpha-mixing dependence, and show that the localization statistic reduces to a CUSUM-type statistic under pure mean shifts. In simulations with up to one million observations, SCAN generally achieves higher covering and F1-scores than competing methods across mean and joint mean-variance shifts, particularly under serial dependence. On real data, SCAN identifies labeled activity transitions in sensor data and interpretable structural changes in hourly Bitcoin prices. Implementations are available in the Python package scan-cpd and R package scanr.
ER -