Change Point Detection on a Separable Model for Dynamic Networks

This paper studies the change point detection problem in time series of networks, with the Separable Temporal Exponential-family Random Graph Model (STERGM). We consider a sequence of networks generated from a piecewise constant distribution that is altered at unknown change points in time. Detection of the change points can identify the discrepancies in the underlying data generating processes and facilitate downstream dynamic network analysis tasks. Moreover, the STERGM that focuses on network statistics is a flexible model to fit dynamic networks with both dyadic and temporal dependence. We propose a new estimator derived from the Alternating Direction Method of Multipliers (ADMM) and the Group Fused Lasso to simultaneously detect multiple time points, where the parameters of STERGM have changed. We also provide Bayesian information criterion for model selection to assist the detection. Our experiments show good performance of the proposed method on both simulated and real data. Lastly, we develop an R package CPDstergm to implement our method.