Detection of multiple change-points in multivariate data

Edgard M. Maboudou-Tchao; Douglas M. Hawkins

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Detection of multiple change-points in multivariate data

机译：检测多元数据中的多个变化点

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摘要

The statistical analysis of change-point detection and estimation has received much attention recently. A time point such that observations follow a certain statistical distribution up to that point and a different distribution - commonly of the same functional form but different parameters after that point - is called a change-point. Multiple change-point problems arise when we have more than one change-point. This paper develops a method for mullivariate normally distributed data to detect change-points and estimate within-segment parameters using maximum likelihood estimation.

机译：变更点检测和估计的统计分析最近受到了广泛关注。这样的一个时间点，即观察值遵循某个统计分布，直到该点为止，而不同的分布（通常具有相同的功能形式，但在该点之后具有不同的参数）被称为更改点。当我们有多个更改点时，就会出现多个更改点问题。本文提出了一种使用多态正态分布数据来检测变化点并使用最大似然估计来估计段内参数的方法。

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来源
《Journal of applied statistics》 |2013年第10期|1979-1995|共17页
作者
Edgard M. Maboudou-Tchao; Douglas M. Hawkins;
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作者单位

Department of Statistics, University of Central Florida, Orlando, FL, USA;

School of Statistics,University of Minnesota, Minneapolis, MN, USA;

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原文格式 PDF
正文语种 eng
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关键词
regression trees; binary splitting; principle of optimality; separability; dynamic programming;

机译：回归树;二进制拆分最优原则可分离性动态编程;

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1. Product partition latent variable model for multiple change-point detection in multivariate data [J] . Nyamundanda Gift, Hegarty Avril, Hayes Kevin Journal of applied statistics . 2015,第11a12期

机译：用于多变量数据中多个变化点检测的产品分区潜在变量模型
2. Multiple change-point detection of multivariate mean vectors with the Bayesian approach [J] . Cheon S, Kim J Computational statistics & data analysis . 2010,第2期

机译：贝叶斯方法对多元均值向量进行多变化点检测
3. Detection of multiple change-points in multivariate time series [J] . M. Lavielle, G. Teyssière Lithuanian mathematical journal . 2006,第3期

机译：检测多元时间序列中的多个变化点
4. Rank-based multiple change-point detection in multivariate time series [C] . Harle F., Chatelain F., Gouy-Pailler C., European Signal Processing Conference . 2014

机译：多元时间序列中基于等级的多变化点检测
5. A Graph-Based Approach to Change-Point Detection for Multivariate and Non-Euclidean Data [D] . Chu, Lynna. 2019

机译：基于图形的多变量和非欧几里德数据的转换点检测方法
6. rbrothers: R Package for Bayesian Multiple Change-Point Recombination Detection [O] . Jan Irvahn, Sujay Chattopadhyay, Evgeni V. Sokurenko, 2013

机译：rbrothers：贝叶斯多变化点重组检测的R包
7. Bayesian Model for Multiple Change-Points Detection in Multivariate Time Series [O] . Harlé, Flore, Chatelain, Florent, Gouy-Pailler, Cedric, 2016

机译：多元时间序列中多个变化点检测的贝叶斯模型

Detection of multiple change-points in multivariate data

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