相关论文: Change-point Detection by the Quantile LASSO Metho…

Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data…

Without imposing prior distributional knowledge underlying multivariate time series of interest, we propose a nonparametric change-point detection approach to estimate the number of change points and their locations along the temporal axis.…

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 point detection algorithms have numerous applications in fields of scientific and economic importance. We consider the problem of change point detection on compositional multivariate data (each sample is a probability mass function),…

We investigate sequential change point estimation and detection in univariate nonparametric settings, where a stream of independent observations from sub-Gaussian distributions with a common variance factor and piecewise-constant but…

Statistical models incorporating change points are common in practice, especially in the area of biomedicine. This approach is appealing in that a specific parameter is introduced to account for the abrupt change in the response variable…

Large-scale sequential data is often exposed to some degree of inhomogeneity in the form of sudden changes in the parameters of the data-generating process. We consider the problem of detecting such structural changes in a high-dimensional…

Change point estimation in its offline version is traditionally performed by optimizing over the data set of interest, by considering each data point as the true location parameter and computing a data fit criterion. Subsequently, the data…

In Ciuperca (2012) (Ciuperca. Model selection by LASSO methods in a change-point model, Stat. Papers, 2012; (in press)), the author considered a linear regression model with multiple change-points occurring at unknown times. In particular,…

Change-point detection has been a classical problem in statistics and econometrics. This work focuses on the problem of detecting abrupt distributional changes in the data-generating distribution of a sequence of high-dimensional…

We consider the change-point detection in multivariate continuous and integer valued time series. We propose a Wald-type statistic based on the estimator performed by a general contrast function; which can be constructed from the…

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…

This paper describes a novel approach to change-point detection when the observed high-dimensional data may have missing elements. The performance of classical methods for change-point detection typically scales poorly with the…

We introduce a framework for online changepoint detection and simultaneous model learning which is applicable to highly parametrized models, such as deep neural networks. It is based on detecting changepoints across time by sequentially…

Automated analysis of complex systems based on multiple readouts remains a challenge. Change point detection algorithms are aimed to locating abrupt changes in the time series behaviour of a process. In this paper, we present a novel change…

We consider the problem of quickest change-point detection in data streams. Classical change-point detection procedures, such as CUSUM, Shiryaev-Roberts and Posterior Probability statistics, are optimal only if the change-point model is…

High-dimensional changepoint inference that adapts to various change patterns has received much attention recently. We propose a simple, fast yet effective approach for adaptive changepoint testing. The key observation is that two…

Change-point detection and locally stationary time series modeling are two major approaches for the analysis of non-stationary data. The former aims to identify stationary phases by detecting abrupt changes in the dynamics of a time series…

Change-point detection studies the problem of detecting the changes in the underlying distribution of the data stream as soon as possible after the change happens. Modern large-scale, high-dimensional, and complex streaming data call for…

Detection of change-points in a sequence of high-dimensional observations is a very challenging problem, and this becomes even more challenging when the sample size (i.e., the sequence length) is small. In this article, we propose some…