Panel Multiple Testing for Panel Change-Point Detection

Usage

To cite this code, please use the following two citations:

1. The core functionalities of this repo replicates a working paper at non-archival workshop SPIGM @ ICML 2023,

@article{zouyangpelger2023cpd,
  title={Large Dimensional Change Point Detection with FWER Control as Automatic Stopping},
  author={Zou, Jiacheng and Fan, Yang and Pelger, Markus},
  journal={ICML 2023 Workshop on Structured Probabilistic Inference & Generative Modeling},
  year={2023}
}

2. The underlying statistical method is introduced in,

@article{pelger2022inference,
  title={Inference for Large Panel Data with Many Covariates},
  author={Pelger, Markus and Zou, Jiacheng},
  journal={arXiv preprint arXiv:2301.00292},
  year={2022}
}

Repository Files

• run_experiments.py: Generates and compiles experiment results.
• core.py: Contains the implementation loop of the change-point detection experiments.
• lasso.py: Contains corrections to the selectinf package.

Installation

1. Install Anaconda.
2. Install R https://cran.rstudio.com/
3. Run the command bash install.sh in your terminal. This will create an environment named panel_CPD with all the necessary dependencies for you.

Instructions to Run the Experiment

1. Open your terminal.
2. Activate the panel_CPD environment using the command conda activate panel_CPD.
3. Run the command python run_experiments.py.
4. The results of the experiment will be saved in the file results/main_result.csv.