Detecting A Single Change-point
Methodology
2022-10-14 v1 Statistics Theory
Statistics Theory
Abstract
This chapter overviews some of the work on detecting and estimating the location of a single change. We first consider the most common change-point problem, namely that of detecting a change in mean, before looking at extensions to detecting other types of change. The intuition from the problem of detecting a single change-point is helpful for understanding the variety of methods for detecting multiple changes.
Keywords
Cite
@article{arxiv.2210.07066,
title = {Detecting A Single Change-point},
author = {Paul Fearnhead and Piotr Fryzlewicz},
journal= {arXiv preprint arXiv:2210.07066},
year = {2022}
}
Comments
This is a draft chapter from the forthcoming book "Change-Point Detection and Data Segmentation" by Paul Fearnhead and Piotr Fryzlewicz. Comments, particularly regarding the history of work in this area, are welcome