Optimal detection of changepoints with a linear computational cost

@article{Killick2012OptimalDO,
  title={Optimal detection of changepoints with a linear computational cost},
  author={Rebecca Killick and P. Fearnhead and I. Eckley},
  journal={Journal of the American Statistical Association},
  year={2012},
  volume={107},
  pages={1590 - 1598}
}
We consider the problem of detecting multiple changepoints in large data sets. Our focus is on applications where the number of changepoints will increase as we collect more data: for example in genetics as we analyse larger regions of the genome, or in finance as we observe time-series over longer periods. We consider the common approach of detecting changepoints through minimising a cost function over possible numbers and locations of changepoints. This includes several established procedures… Expand
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