# Exploring the latent segmentation space for the assessment of multiple change-point models

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CRISAM - Inria Sophia Antipolis - Méditerranée , INRA - Institut National de la Recherche Agronomique, Centre de coopération internationale en recherche agronomique pour le développement [CIRAD] : UMR51
Abstract : This paper addresses the retrospective or off-line multiple change-point detection problem. Multiple change-point models are here viewed as latent structure models and the focus is on inference concerning the latent segmentation space. Methods for exploring the space of possible segmentations of a sequence for a fixed number of change points may be divided into two categories: (i) enumeration of segmentations, (ii) summary of the possible segmentations in change-point or segment profiles. Concerning the first category, a dynamic programming algorithm for computing the top \$N\$ N most probable segmentations is derived. Concerning the second category, a forward-backward dynamic programming algorithm and a smoothing-type forward-backward algorithm for computing two types of change-point and segment profiles are derived. The proposed methods are mainly useful for exploring the segmentation space for successive numbers of change points and provide a set of assessment tools for multiple change-point models that can be applied both in a non-Bayesian and a Bayesian framework. We show using examples that the proposed methods may help to compare alternative multiple change-point models (e.g. Gaussian model with piecewise constant variances or global variance), predict supplementary change points, highlight overestimation of the number of change points and summarize the uncertainty concerning the position of change points.
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Type de document :
Article dans une revue
Computational Statistics, Springer Verlag, 2013, pp.1-38. 〈10.1007/s00180-013-0422-9〉
Domaine :

https://hal.inria.fr/hal-00850847
Contributeur : Christophe Godin <>
Soumis le : vendredi 9 août 2013 - 10:46:58
Dernière modification le : vendredi 19 octobre 2018 - 15:22:02

### Citation

Yann Guédon. Exploring the latent segmentation space for the assessment of multiple change-point models. Computational Statistics, Springer Verlag, 2013, pp.1-38. 〈10.1007/s00180-013-0422-9〉. 〈hal-00850847〉

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