Abstract: The detection of change-points in a spatially or time ordered data sequence is an important problem in many fields such as genetics and finance. We derive the asymptotic distribution of a statistic recently suggested for detecting change-points. Simulation of its estimated limit distribution leads to a new and computationally efficient change-point detection algorithm, which can be used on very long signals. We assess the algorithm via simulations and on previously benchmarked real-world data sets.
Recommendations
- Dynamic detection of change points in long time series
- Multiple change-point detection: a selective overview
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- scientific article; zbMATH DE number 3209538 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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Cited in
(6)- Change-point detection in high-dimensional covariance structure
- Detection of changes in binary sequences
- A kernel multiple change-point algorithm via model selection
- Optimal detection of changepoints with a linear computational cost
- Dynamic detection of change points in long time series
- Multiple testing of local extrema for detection of change points
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