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A Review of Changepoint Detection Models (1908.07136v1)
Published 20 Aug 2019 in stat.ML, cs.LG, and q-fin.TR
Abstract: The objective of the change-point detection is to discover the abrupt property changes lying behind the time-series data. In this paper, we firstly summarize the definition and in-depth implication of the changepoint detection. The next stage is to elaborate traditional and some alternative model-based changepoint detection algorithms. Finally, we try to go a bit further in the theory and look into future research directions.