Fast detection of multiple change-points shared by many signals using group LARS
نویسندگان
چکیده
In order to show the complexity claimed in Lemma 1, let us rewrite it with an explicit description of the computation of C = X̄>R: Lemma 1. For any R ∈ Rn×p, we can compute C = X̄>R in O(np) operations as follows: 1. Compute the n× p matrix r of cumulative sums ri,• = ∑i j=1Rj• by the induction: • r1,• = R1,• . • For i = 1, . . . , n, ri,• = ri−1,• +Ri,• . 2. For i = 1, . . . , n− 1, compute Ci,• = irn,•/n− ri,• .
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