Learning the Intensity of Time Events With Change-Points

DOI10.1109/TIT.2015.2448087zbMATH Open1359.94028arXiv1507.00513MaRDI QIDQ2977313FDOQ2977313

A. Guilloux, Stéphane Gaïffas, Mokhtar Z. Alaya

Publication date: 28 April 2017

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

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.

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)

Cited In (3)

• Title not available (Why is that?)
• ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS
• A Kernel Multiple Change-point Algorithm via Model Selection

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