Kernel change-point detection

Details Kernel change-point detection Kernel change-point detection

2012-02-17

arxiv.org/abs/1202.3878v1

Mathematics

Statistics Theory

Scientific paper

We tackle the change-point problem with data belonging to a general set. We propose a penalty for choosing the number of change-points in the kernel-based method of Harchaoui and Capp\'e (2007). This penalty generalizes the one proposed for one dimensional signals by Lebarbier (2005). We prove it satisfies a non-asymptotic oracle inequality by showing a new concentration result in Hilbert spaces. Experiments on synthetic and real data illustrate the accuracy of our method, showing it can detect changes in the whole distribution of data, even when the mean and variance are constant. Our algorithm can also deal with data of complex nature, such as the GIST descriptors which are commonly used for video temporal segmentation.

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