This Discussion meeting takes place as part of the RSS International Conference and is formed of two papers:

Paper 1: ‘Automatic Change-Point Detection in Time Series via Deep Learning'.

Detecting change-points in data is challenging because of the range of possible types of change and types of behaviour of data when there is no change. Statistically efficient methods for detecting a change will depend on both of these features, and it can be difficult for a practitioner to develop an appropriate detection method for their application of interest. We show how to automatically generate new offline detection methods based on training a neural network. Our approach is motivated by many existing tests for the presence of a change-point being representable by a simple neural network, and thus a neural network trained with sufficient data should have performance at least as good as these methods. We present theory that quantifies the error rate for such an approach, and how it depends on the amount of training data. Empirical results show that, even with limited training data, its performance is competitive with the standard CUSUM-based classifier for detecting a change in mean when the noise is independent and Gaussian, and can substantially outperform it in the presence of auto-correlated or heavy-tailed noise. Our method also shows strong results in detecting and localizing changes in activity based on accelerometer data.


Paper 2: 'From Denoising Diffusions to Denoising Markov Models'.

Denoising diffusions are state-of-the-art generative models exhibiting remarkable empirical performance. They work by diffusing the data distribution into a Gaussian distribution and then learning to reverse this noising process to obtain synthetic data points. The denoising diffusion relies on approximations of the logarithmic derivatives of the noised data densities using score matching. Such models can also be used to perform approximate posterior simulation when one can only sample from the prior and likelihood. We propose a unifying framework generalizing this approach to a wide class of spaces and leading to an original extension of score matching. We illustrate the resulting models on various applications.