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Abstract:
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Traditional methods for change point detection often rely on a large number of observed data points and can be inaccurate in non-asymptotic settings. With the rise of mobile health and digital phenotyping studies, where patients are monitored through use of smartphones or other digital devices, change point detection is needed in non-asymptotic settings where it may be important to identify behavioral changes that occur just days before an adverse event. Furthermore, analytical and computationally efficient means of inference are necessary for the monitoring and online analysis of large-scale digital phenotyping cohorts. We extend the result for asymptotic tail probabilities of the likelihood ratio test to the multivariate change point detection setting, and demonstrate through simulation its inaccuracy when the number of observed data points is not large. We propose a non-asymptotic approach for inference on the likelihood ratio test and apply this method to a cohort of patients with major depressive disorder.
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