Multiple Changepoint Detection via Genetic Algorithms

Abstract

his paper studies genetic algorithms as a means of estimating the number of changepoints and their locations in a climatic time series. Such methods bypass classic subsegmentation algorithms, which sometimes yield suboptimal conclusions. Minimum description length techniques are introduced. These techniques require optimizing an objective function over all possible changepoint numbers and location times. The general objective functions allow for correlated data, reference station aspects, and/or nonnormal marginal distributions, all common features of climate time series. As an exhaustive evaluation of all changepoint configurations is not possible, the optimization is accomplished via a genetic algorithm that randomly walks through a subset of good models in an intelligent manner. The methods are applied in the analysis of 173 yr of annual precipitation measurements from New Bedford, Massachusetts, and the North Atlantic basin tropical cyclone record.