Change point detection in vector autoregression

Lecture 6 : Vector Autoregression ∗

Change point detection

Abstract: We propose new tests to detect a change in the mean of a time series. Like many existing tests, the new ones are based on the CUSUM process. Existing CUSUM tests require an estimator of a scale parameter to make them asymptotically distribution free under the no change null hypothesis. Even if the observations are independent, the estimation of the scale parameter is not simple since ...

Change Point Detection

In the present paper, we develop a new efficient approach to detection of abrupt changes in a sequence of recognized digital images, which can be applied to a wide variety of practical problems of digital image processing. The principal idea of this approach consists in transforming an original sample of the observed data to a set of onedimensional statistics and measuring a distance from homog...

Kernel change-point detection

We tackle the change-point problem with data belonging to a general set. We propose a penalty for choosing the number of change-points in the kernel algorithm of Harchaoui and Cappé (2007). This penalty generalizes the one proposed for one dimensional signals by Lebarbier (2005). We prove it satisfies a non-asymptotic oracle inequality by showing new concentration results in Hilbert spaces. Exp...

Quantum Change Point Detection

No matter whether it is acoustic waves, quantum matter waves or optical waves of a laser—all kinds of waves can be in different states of oscillation, corresponding to different frequencies. Calculating these frequencies is part of the tools of the trade in theoretical physics. Recently, however, a special class of systems has caught the attention of the scientific community, forcing physicists...