Long signal change-point detection
Statistics Theory
2015-10-01 v2 Applications
Statistics Theory
Abstract
The detection of change-points in a spatially or time ordered data sequence is an important problem in many fields such as genetics and finance. We derive the asymptotic distribution of a statistic recently suggested for detecting change-points. Simulation of its estimated limit distribution leads to a new and computationally efficient change-point detection algorithm, which can be used on very long signals. We assess the algorithm via simulations and on previously benchmarked real-world data sets.
Cite
@article{arxiv.1504.01702,
title = {Long signal change-point detection},
author = {Gérard Biau and Kevin Bleakley and David Mason},
journal= {arXiv preprint arXiv:1504.01702},
year = {2015}
}