Using CART to Detect Multiple Change Points in the Mean for large samples
نویسندگان
چکیده
A procedure is provided to detect multiple change-points in the mean of very large Gaussian signals. From an algorithmical point of view, visiting all possible con gurations of change-points cannot be performed on large samples. The proposed procedure runs CART rst in order to reduce the number of con gurations of change-points by keeping the relevant ones, and then runs an exhaustive search on these change-points in order to obtain a convenient con guration. A simulation study compares the di erent algorithms in terms of theoretical performance and in terms of computational time. Keyword : Change-points detection Dynamic Programming Model Selection CART Algorithm.
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