Long signal change-point detection
Copyright policy )Long signal change-point detection
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.
FOS: Computer and information sciences, [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], Asymptotic properties of parametric tests, Asymptotic distribution theory in statistics, $U$-statistic, limit distribution, Mathematics - Statistics Theory, Statistics Theory (math.ST), Statistics - Applications, [STAT.ML] Statistics [stat]/Machine Learning [stat.ML], Time series, auto-correlation, regression, etc. in statistics (GARCH), [STAT.AP] Statistics [stat]/Applications [stat.AP], \(U\)-statistic, Change-point, FOS: Mathematics, statistical test, Applications (stat.AP), multi-dimensional data, change-point
FOS: Computer and information sciences, [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], Asymptotic properties of parametric tests, Asymptotic distribution theory in statistics, $U$-statistic, limit distribution, Mathematics - Statistics Theory, Statistics Theory (math.ST), Statistics - Applications, [STAT.ML] Statistics [stat]/Machine Learning [stat.ML], Time series, auto-correlation, regression, etc. in statistics (GARCH), [STAT.AP] Statistics [stat]/Applications [stat.AP], \(U\)-statistic, Change-point, FOS: Mathematics, statistical test, Applications (stat.AP), multi-dimensional data, change-point
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