相关论文: Off-line detection of multiple change points with …

We suggest a novel procedure for online change point detection. Our approach expands an idea of maximizing a discrepancy measure between points from pre-change and post-change distributions. This leads to flexible algorithms suitable for…

A novel sequential change detection problem is proposed, in which the goal is to not only detect but also accelerate the change. Specifically, it is assumed that the sequentially collected observations are responses to treatments selected…

In this work, we propose a non-parametric and robust change detection algorithm to detect multiple change points in time series data under contamination. The contamination model is sufficiently general, in that, the most common model used…

Time series, as frequently the case in neuroscience, are rarely stationary, but often exhibit abrupt changes due to attractor transitions or bifurcations in the dynamical systems producing them. A plethora of methods for detecting such…

We propose a novel change-point detection method based on online Dynamic Mode Decomposition with control (ODMDwC). Leveraging ODMDwC's ability to find and track linear approximation of a non-linear system while incorporating control…

A common approach to detect multiple changepoints is to minimise a measure of data fit plus a penalty that is linear in the number of changepoints. This paper shows that the general finite sample behaviour of such a method can be related to…

High-dimensional time series are characterized by a large number of measurements and complex dependence, and often involve abrupt change points. We propose a new procedure to detect change points in the mean of high-dimensional time series…

This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the null hypothesis but exhibits change-points or becomes less…

When analysing multiple time series that may be subject to changepoints, it is sometimes possible to specify a priori, by means of a graph, which pairs of time series are likely to be impacted by simultaneous changepoints. This article…

Modeling matrix-valued time series is an interesting and important research topic. In this paper, we extend the method of Chang et al. (2017) to matrix-valued time series. For any given $p\times q$ matrix-valued time series, we look for…

This paper studies the construction of p-values for nonparametric outlier detection, taking a multiple-testing perspective. The goal is to test whether new independent samples belong to the same distribution as a reference data set or are…

Change point detection is a typical task that aim to find changes in time series and can be tackled with two-sample test. Copula Entropy is a mathematical concept for measuring statistical independence and a two-sample test based on it was…

Multivariate time series can often have a large number of dimensions, whether it is due to the vast amount of collected features or due to how the data sources are processed. Frequently, the main structure of the high-dimensional time…

We study sequential change-point detection for spatio-temporal point processes, where actionable detection requires not only identifying when a distributional change occurs but also localizing where it manifests in space. While classical…

In this paper, we propose a new method for offline change-point detection on some parameters of the distribution of a random vector. We introduce a penalized maximum likelihood approach that can be efficiently computed by a dynamic…

By attaching auxiliary event times to the chronologically ordered observations, we formulate the Bayesian multiple changepoint problem of discrete-time observations into that of continuous-time ones. A version of forward-filtering…

Process monitoring and control requires detection of structural changes in a data stream in real time. This article introduces an efficient sequential Monte Carlo algorithm designed for learning unknown changepoints in continuous time. The…

Estimating and quantifying uncertainty in unknown system parameters from limited data remains a challenging inverse problem in a variety of real-world applications. While many approaches focus on estimating constant parameters, a subset of…

We propose estimation methods for change points in high-dimensional covariance structures with an emphasis on challenging scenarios with missing values. We advocate three imputation like methods and investigate their implications on common…

There is a vast body of literature related to methods for detecting changepoints (CP). However, less attention has been paid to assessing the statistical reliability of the detected CPs. In this paper, we introduce a novel method to perform…