Detecting changes in mixed‐sampling rate data sequences

Abstract

AbstractDifferent environmental variables are often monitored using different sampling rates; examples include half‐hourly weather station measurements, daily data, and six‐day satellite data. Further when researchers want to combine the data into a single analysis this often requires data aggregation or down‐scaling. When one is seeking to identify changes within multivariate data, the aggregation and/or down‐scaling processes obscure the changes we seek. In this article, we propose a novel changepoint detection algorithm which can analyze multiple time series for co‐occurring changepoints with potentially different sampling rates, without requiring preprocessing to a standard sampling scale. We demonstrate the algorithm on synthetic data before providing an example identifying simultaneous changes in multiple variables at a location on the Greenland ice sheet using synthetic aperture radar and weather station data.