Pré-Publication, Document De Travail Année : 2015

Long signal change-point detection

Résumé

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.

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Dates et versions

hal-01140119 , version 1 (07-04-2015)
hal-01140119 , version 2 (28-09-2015)

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Gérard Biau, Kevin Bleakley, David Mason. Long signal change-point detection. 2015. ⟨hal-01140119v1⟩
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