Learning the Intensity of Time Events With Change-Points

DOI10.1109/TIT.2015.2448087zbMATH Open1359.94028MaRDI QIDQ2977313FDOQ2977313

Authors Mokhtar Z. Alaya, Stéphane Gaïffas, A. Guilloux 

Publication date 28 April 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.00513

Mathematics Subject Classification ID

Information theory (general) (94A15) Image processing (compression, reconstruction, etc.) in information and communication theory (94A08)

Abstract: We consider the problem of learning the inhomogeneous intensity of a counting process, under a sparse segmentation assumption. We introduce a weighted total-variation penalization, using data-driven weights that correctly scale the penalization along the observation interval. We prove that this leads to a sharp tuning of the convex relaxation of the segmentation prior, by stating oracle inequalities with fast rates of convergence, and consistency for change-points detection. This provides first theoretical guarantees for segmentation with a convex proxy beyond the standard i.i.d signal + white noise setting. We introduce a fast algorithm to solve this convex problem. Numerical experiments illustrate our approach on simulated and on a high-frequency genomics dataset.

Cited in

(3)

• A kernel multiple change-point algorithm via model selection
• ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS
• Binarsity: a penalization for one-hot encoded features in linear supervised learning

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