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Long signal change-point detection (1504.01702v2)
Published 7 Apr 2015 in math.ST, stat.AP, and stat.TH
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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