Multiple Change Point Detection in the Mean and Covariance of High-Dimensional Matrix Time Series
Abstract
This paper studies simultaneous change point detection in the first- and second-order structures of high-dimensional matrix-valued time series. Specifically, we extend the framework of main effect factor models to accommodate multiple change points so that shifts in the mean and covariance structures are characterized by changes in the trend-stationary main effects main effects and in the factor-driven common components, respectively. Under this framework, the two types of changes are not necessarily aligned and can be arbitrarily large without masking the effects of each other, and each of the detected change points is identified either with the row or column categorizations which improves their interpretability. We propose a unified procedure based on moving-sum statistics to detect and localize both types of changes. Under general regularity conditions that allow for temporal and cross-sectional dependence, we derive detection and localization guarantees for the proposed method. The finite-sample performance of the method is demonstrated through extensive experiments, and its practical usefulness is illustrated by a real data application to New York City Yellow Taxi trip records.
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BibTeX
@misc{cen2026multiple,
title = {{Multiple Change Point Detection in the Mean and Covariance of High-Dimensional Matrix Time Series}},
author = {Zetai Cen and Haeran Cho},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.07392},
eprint = {2610.07392},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.07392},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Multiple Change Point Detection in the Mean and Covariance of High-Dimensional Matrix Time Series
AU - Zetai Cen
AU - Haeran Cho
PY - 2026
DA - 2026/10/05
PB - arXiv
DO - 10.48550/arxiv.2610.07392
UR - https://arxiv.org/abs/2610.07392
AB - This paper studies simultaneous change point detection in the first- and second-order structures of high-dimensional matrix-valued time series. Specifically, we extend the framework of main effect factor models to accommodate multiple change points so that shifts in the mean and covariance structures are characterized by changes in the trend-stationary main effects main effects and in the factor-driven common components, respectively. Under this framework, the two types of changes are not necessarily aligned and can be arbitrarily large without masking the effects of each other, and each of the detected change points is identified either with the row or column categorizations which improves their interpretability. We propose a unified procedure based on moving-sum statistics to detect and localize both types of changes. Under general regularity conditions that allow for temporal and cross-sectional dependence, we derive detection and localization guarantees for the proposed method. The finite-sample performance of the method is demonstrated through extensive experiments, and its practical usefulness is illustrated by a real data application to New York City Yellow Taxi trip records.
ER -