Multiple Change Point Analysis: Fast Implementation and Strong Consistency

  title={Multiple Change Point Analysis: Fast Implementation and Strong Consistency},
  author={Jie Ding and Yu Xiang and Lu Shen and Vahid Tarokh},
  journal={IEEE Transactions on Signal Processing},
One of the main challenges in identifying structural changes in stochastic processes is to carry out analysis for time series with dependency structure in a computationally tractable way. Another challenge is that the number of true change points is usually unknown, requiring a suitable model selection criterion to arrive at informative conclusions. To address the first challenge, we model the data generating process as a segment-wise autoregression, which is composed of several segments (time… CONTINUE READING

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