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Journal Articles Electronic Journal of Statistics Year : 2016

Long signal change-point detection

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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.
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Dates and versions

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

Identifiers

Cite

Gérard Biau, Kevin Bleakley, David Mason. Long signal change-point detection. Electronic Journal of Statistics , 2016, 10, pp.2097-2123. ⟨10.1214/16-EJS1164⟩. ⟨hal-01140119v2⟩
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