Selective review of offline change point detection methods
Computational Engineering, Finance, and Science
2020-07-14 v3 Computation
Methodology
Abstract
This article presents a selective survey of algorithms for the offline detection of multiple change points in multivariate time series. A general yet structuring methodological strategy is adopted to organize this vast body of work. More precisely, detection algorithms considered in this review are characterized by three elements: a cost function, a search method and a constraint on the number of changes. Each of those elements is described, reviewed and discussed separately. Implementations of the main algorithms described in this article are provided within a Python package called ruptures.
Cite
@article{arxiv.1801.00718,
title = {Selective review of offline change point detection methods},
author = {Charles Truong and Laurent Oudre and Nicolas Vayatis},
journal= {arXiv preprint arXiv:1801.00718},
year = {2020}
}