A Review of Changepoint Detection Models
Machine Learning
2019-08-21 v1 Machine Learning
Trading and Market Microstructure
Abstract
The objective of the change-point detection is to discover the abrupt property changes lying behind the time-series data. In this paper, we firstly summarize the definition and in-depth implication of the changepoint detection. The next stage is to elaborate traditional and some alternative model-based changepoint detection algorithms. Finally, we try to go a bit further in the theory and look into future research directions.
Cite
@article{arxiv.1908.07136,
title = {A Review of Changepoint Detection Models},
author = {Yixiao Li and Gloria Lin and Thomas Lau and Ruochen Zeng},
journal= {arXiv preprint arXiv:1908.07136},
year = {2019}
}
Comments
11 pages