Electronic Journal of Statistics

Long signal change-point detection

Gérard Biau, Kevin Bleakley, and David M. Mason

Full-text: Open access

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, 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.

Article information

Source
Electron. J. Statist., Volume 10, Number 2 (2016), 2097-2123.

Dates
Received: September 2015
First available in Project Euclid: 18 July 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1468849972

Digital Object Identifier
doi:10.1214/16-EJS1164

Mathematical Reviews number (MathSciNet)
MR3522670

Zentralblatt MATH identifier
06624511

Keywords
Change-point statistical test $U$-statistic

Citation

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


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