Robust mean change point testing in high-dimensional data with heavy tails

We study mean change point testing problems for high-dimensional data, with exponentially- or polynomially-decaying tails. In each case, depending on the ℓ0-norm of the mean change vector, we separately consider dense and sparse regimes. We characterise the boundary between the dense and sparse regimes under the above two tail conditions for the first time in the change point literature and propose novel testing procedures that attain optimal rates in each of the four regimes up to a poly-iterated logarithmic factor. To be specific, when the error distributions possess exponentially-decaying tails, a near-optimal CUSUM-type statistic is considered. As for polynomially-decaying tails, admitting bounded α-th moments for some α ≥ 4, we introduce a median-of-means-type test statistic that achieves a near-optimal testing rate in both dense and sparse regimes. Our investigation in the even more challenging case of 2 ≤ α