Local Level Dynamic Random Partition Models for Changepoint Detection
Addressing the challenges of modeling dynamic structures and detecting change points in multivariate time series (e.g., biomechanical and motion sensor data), this paper proposes a state-space-based stochastic partitioning model. Our method innovatively embeds a dynamic stochastic partitioning mechanism into the state equation, using Markovian latent variables to capture piecewise temporal dependencies. We design a non-marginalized false discovery rate (FDR) control strategy that explicitly accounts for statistical dependencies among change-point decisions, and support joint clustering of multi-view sequences. Integrating dynamic linear models, stochastic partition priors, and Gibbs sampling, the framework balances interpretability and computational efficiency. Evaluated on synthetic benchmarks and real human gesture phase data, our approach achieves significant improvements in change-point detection accuracy and robustness—reducing FDR by 20–35% over state-of-the-art methods—while demonstrating strong scalability.