Spatial-Sign based High dimensional Change Point Inference

Abstract: High-dimensional changepoint inference, adaptable to diverse alternative scenarios, has attracted significant attention in recent years. In this paper, we propose an adaptive and robust approach to changepoint testing. Specifically, by generalizing the classical mean-based cumulative sum (CUSUM) statistic, we construct CUSUM statistics based on spatial medians and spatial signs. We introduce test statistics that consider the maximum and summation of the CUSUM statistics across different dimensions, respectively, and take the maximum across all potential changepoint locations. The asymptotic distributions of test statistics under the null hypothesis are derived. Furthermore, the test statistics exhibit asymptotic independence under mild conditions. Building on these results, we propose an adaptive testing procedure that combines the max-$L_\infty$-type and max-$L_2$-type statistics to achieve high power under both sparse and dense alternatives. Through numerical experiments and theoretical analysis, the proposed method demonstrates strong performance and exhibits robustness across a wide range of signal sparsity levels and heavy-tailed distributions.