Multiple Change Point Estimation in Stationary Ergodic Time Series

Azadeh Khaleghi; Daniil Ryabko

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arXiv · 1203.1515

Multiple Change Point Estimation in Stationary Ergodic Time Series

Azadeh Khaleghi·Daniil Ryabko

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Abstract

Given a heterogeneous time-series sample, the objective is to find points in time (called change points) where the probability distribution generating the data has changed. The data are assumed to have been generated by arbitrary unknown stationary ergodic distributions. No modelling, independence or mixing assumptions are made. A novel, computationally efficient, nonparametric method is proposed, and is shown to be asymptotically consistent in this general framework. The theoretical results are complemented with experimental evaluations.

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BibTeX RIS

Azadeh Khaleghi, Daniil Ryabko. 2015-05-11. Multiple Change Point Estimation in Stationary Ergodic Time Series. https://arxiv.org/abs/1203.1515

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