A review of change point detection methods

@article{Truong2020ARO,
  title={A review of change point detection methods},
  author={C. Truong and L. Oudre and N. Vayatis},
  journal={Signal Process.},
  year={2020},
  volume={167}
}
In this work, methods to detect one or several change points in multivariate time series are reviewed. [...] Key Method Precisely, all methods are described as a collection of three elements: a cost function, a search method and a constraint on the number of changes to detect. For a given method, we detail the assumed signal model, the associated algorithm, theoretical guarantees (if any) and the application domain. This approach is intended to facilitate prototyping of change point detection methods: for a…Expand
90 Citations
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