A kernel multiple change-point algorithm via model selection
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Publication:80474
DOI10.48550/ARXIV.1202.3878zbMATH Open1446.62120arXiv1202.3878MaRDI QIDQ80474FDOQ80474
Authors: Sylvain Arlot, Alain Celisse, Zaid Harchaoui, Sylvain Arlot, Alain Celisse, Zaid Harchaoui 
Publication date: 17 February 2012
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.
Full work available at URL: https://arxiv.org/abs/1202.3878
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Order statistics; empirical distribution functions (62G30)
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- New efficient algorithms for multiple change-point detection with reproducing kernels
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