Filtered derivative with p-value method for multiple change-points detection

Details Filtered derivative with p-value method for multiple change-points detection Filtered derivative with p-value method for multiple change-points detection

2010-03-22

arxiv.org/abs/1003.4147v1

International Workshop in Sequential Methodologies, Troyes : France (2009)

Mathematics

Statistics Theory

Scientific paper

This paper deals with off-line detection of change points for time series of independent observations, when the number of change points is unknown. We propose a sequential analysis like method with linear time and memory complexity. Our method is based at first step, on Filtered Derivative method which detects the right change points but also false ones. We improve Filtered Derivative method by adding a second step in which we compute the p-values associated to each potential change points. Then we eliminate as false alarms the points which have p-value smaller than a given critical level. Next, our method is compared with the Penalized Least Square Criterion procedure on simulated data sets. Eventually, we apply Filtered Derivative with p-Value method to segmentation of heartbeat time series.

Affiliated with

Also associated with

No associations

Rating

Filtered derivative with p-value method for multiple change-points detection does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Filtered derivative with p-value method for multiple change-points detection, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Filtered derivative with p-value method for multiple change-points detection will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-206463