Consistent change-point detection with kernels
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Abstract: In this paper we study the kernel change-point algorithm (KCP) proposed by Arlot, Celisse and Harchaoui (2012), which aims at locating an unknown number of change-points in the distribution of a sequence of independent data taking values in an arbitrary set. The change-points are selected by model selection with a penalized kernel empirical criterion. We provide a non-asymptotic result showing that, with high probability, the KCP procedure retrieves the correct number of change-points, provided that the constant in the penalty is well-chosen; in addition, KCP estimates the change-points location at the optimal rate. As a consequence, when using a characteristic kernel, KCP detects all kinds of change in the distribution (not only changes in the mean or the variance), and it is able to do so for complex structured data (not necessarily in ). Most of the analysis is conducted assuming that the kernel is bounded; part of the results can be extended when we only assume a finite second-order moment.
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Cited in
(15)- Optimal multiple change-point detection for high-dimensional data
- Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences
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- Kernel change point detection based on convergent cross mapping
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