Kernel change-point detection
نویسندگان
چکیده
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. Experiments on synthetic and real data illustrate the accuracy of our method, showing it can detect changes in the whole distribution, even when the mean and variance are constant. Our algorithm can also deal with data of complex nature, such as the GIST descriptors which are commonly used for video temporal segmentation.
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