A kernel multiple change-point algorithm via model selection
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)
Abstract: We tackle the change-point problem with data belonging to a general set. We build a penalty for choosing the number of change-points in the kernel-based method of Harchaoui and Capp{'e} (2007). This penalty generalizes the one proposed by Lebarbier (2005) for one-dimensional signals. We prove a non-asymptotic oracle inequality for the proposed method, thanks to a new concentration result for some function of Hilbert-space valued random variables. Experiments on synthetic data illustrate the accuracy of our method, showing that it can detect changes in the whole distribution of data, even when the mean and variance are constant.
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Cited in
(43)- Detecting multiple change-points in the mean of Gaussian process by model selection
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- New efficient algorithms for multiple change-point detection with reproducing kernels
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- kcpRS
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