Optimal Nonparametric Multivariate Change Point Detection and Localization

@article{MadridPadilla2022OptimalNM,
  title={Optimal Nonparametric Multivariate Change Point Detection and Localization},
  author={Oscar Hernan Madrid Padilla and Yi Yu and Daren Wang and Alessandro Rinaldo},
  journal={IEEE Transactions on Information Theory},
  year={2022},
  volume={68},
  pages={1922-1944}
}
We study the multivariate nonparametric change point detection problem, where the data are a sequence of independent $p$ -dimensional random vectors whose distributions are piecewise-constant with Lipschitz densities changing at unknown times, called change points. We quantify the size of the distributional change at any change point with the supremum norm of the difference between the corresponding densities. We are concerned with the localization task of estimating the positions of the change… 

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