Electronic Journal of Statistics
- Electron. J. Statist.
- Volume 10, Number 2 (2016), 2097-2123.
Long signal change-point detection
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, thus establishing its validity. 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. To finish, we briefly assess this new algorithm on one- and multi-dimensional data.
Electron. J. Statist., Volume 10, Number 2 (2016), 2097-2123.
Received: September 2015
First available in Project Euclid: 18 July 2016
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Biau, Gérard; Bleakley, Kevin; Mason, David M. Long signal change-point detection. Electron. J. Statist. 10 (2016), no. 2, 2097--2123. doi:10.1214/16-EJS1164. https://projecteuclid.org/euclid.ejs/1468849972