kcpRS (Q80475): Difference between revisions
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Property / last update: 19 January 2023 / rank | |||||||||||||||
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Property / cites work: A Kernel Multiple Change-point Algorithm via Model Selection / rank | |||||||||||||||
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publication date: 6 May 2019
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Property / software version identifier: 1.1.0 / rank | |||||||||||||||
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publication date: 20 January 2023
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1.1.1 | |||||||||||||||
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publication date: 25 October 2023
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25 October 2023
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Property / last update: 25 October 2023 / rank | |||||||||||||||
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The running statistics of interest is first extracted using a time window which is slid across the time series, and in each window, the running statistics value is computed. KCP (Kernel Change Point) detection proposed by Arlot et al. (2012) <arXiv:1202.3878> is then implemented to flag the change points on the running statistics (Cabrieto et al., 2018, <doi:10.1016/j.ins.2018.03.010>). Change points are located by minimizing a variance criterion based on the pairwise similarities between running statistics which are computed via the Gaussian kernel. KCP can locate change points for a given k number of change points. To determine the optimal k, the KCP permutation test is first carried out by comparing the variance of the running statistics extracted from the original data to that of permuted data. If this test is significant, then there is sufficient evidence for at least one change point in the data. Model selection is then used to determine the optimal k>0. | |||||||||||||||
Property / description: The running statistics of interest is first extracted using a time window which is slid across the time series, and in each window, the running statistics value is computed. KCP (Kernel Change Point) detection proposed by Arlot et al. (2012) <arXiv:1202.3878> is then implemented to flag the change points on the running statistics (Cabrieto et al., 2018, <doi:10.1016/j.ins.2018.03.010>). Change points are located by minimizing a variance criterion based on the pairwise similarities between running statistics which are computed via the Gaussian kernel. KCP can locate change points for a given k number of change points. To determine the optimal k, the KCP permutation test is first carried out by comparing the variance of the running statistics extracted from the original data to that of permuted data. If this test is significant, then there is sufficient evidence for at least one change point in the data. Model selection is then used to determine the optimal k>0. / rank | |||||||||||||||
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Property / author: Jedelyn Cabrieto / rank | |||||||||||||||
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Property / author: Kristof Meers / rank | |||||||||||||||
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Property / copyright license: GNU General Public License, version 2.0 / rank | |||||||||||||||
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Property / copyright license: GNU General Public License, version 3.0 / rank | |||||||||||||||
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Property / copyright license: GNU General Public License, version 3.0 / qualifier | |||||||||||||||
edition/version: expanded from: GPL (≥ 2) (English) | |||||||||||||||
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Property / depends on software: RColorBrewer / rank | |||||||||||||||
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Property / depends on software: doParallel / rank | |||||||||||||||
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Property / imports: Rcpp / rank | |||||||||||||||
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software version identifier: ≥ 1.0.0 | |||||||||||||||
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Property / cites work: Capturing correlation changes by applying kernel change point detection on the running correlations / rank | |||||||||||||||
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Property / cites work: A Kernel Multiple Change-point Algorithm via Model Selection / rank | |||||||||||||||
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Property / MaRDI profile type: MaRDI software profile / rank | |||||||||||||||
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links / mardi / name | links / mardi / name | ||||||||||||||
Latest revision as of 19:56, 12 March 2024
Kernel Change Point Detection on the Running Statistics
Language | Label | Description | Also known as |
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English | kcpRS |
Kernel Change Point Detection on the Running Statistics |
Statements
25 October 2023
0 references
The running statistics of interest is first extracted using a time window which is slid across the time series, and in each window, the running statistics value is computed. KCP (Kernel Change Point) detection proposed by Arlot et al. (2012) <arXiv:1202.3878> is then implemented to flag the change points on the running statistics (Cabrieto et al., 2018, <doi:10.1016/j.ins.2018.03.010>). Change points are located by minimizing a variance criterion based on the pairwise similarities between running statistics which are computed via the Gaussian kernel. KCP can locate change points for a given k number of change points. To determine the optimal k, the KCP permutation test is first carried out by comparing the variance of the running statistics extracted from the original data to that of permuted data. If this test is significant, then there is sufficient evidence for at least one change point in the data. Model selection is then used to determine the optimal k>0.
0 references
expanded from: GPL (≥ 2) (English)
0 references