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Long signal change-point detection

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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Contributor : Kevin Bleakley Connect in order to contact the contributor
Submitted on : Monday, September 28, 2015 - 1:28:54 PM
Last modification on : Monday, July 5, 2021 - 9:58:25 AM
Long-term archiving on: : Wednesday, April 26, 2017 - 6:32:19 PM


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



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