Results 41 to 50 of about 961,218 (296)
onlineBcp: An R package for online change point detection using a Bayesian approach
SoftwareX, 2022 Change point analysis has been useful for practical data analytics. In this paper, we provide a new R package, onlineBcp, based on an online Bayesian change point detection algorithm.
Hongyan Xu, Ayten Yiğiter, Jie Chen
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Change-point detection for expected shortfall in time series
Journal of Management Science and Engineering, 2021 Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance.
Lingyu Sun, Dong Li
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Change-point detection algorithms in autoregressive process
, 2022 The change-point detection method is helpful in autoregressive time series modeling. The instability in the underlying model parameters may affect the forecasting accuracy and lead to biased data analysis.
Lijing Ma (10540079)
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Challenges in anomaly and change point detection
ESANN 2022 proceedings, 2022 This paper presents an introduction to the state-of-the-art in anomaly and change-point detection. On the one hand, the main concepts needed to understand the vast scientific literature on those subjects are introduced. On the other, a selection of important surveys and books, as well as two selected active research topics in the field, are presented.
Madalina Olteanu +2 more
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Sequential subspace change point detection [PDF]
Sequential Analysis, 2020 We consider the online monitoring of multivariate streaming data for changes that are characterized by an unknown subspace structure manifested in the covariance matrix. In particular, we consider the covariance structure changes from an identity matrix to an unknown spiked covariance model.
Liyan Xie +2 more
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Testing Exchangeability With Martingale for Change-Point Detection [PDF]
International Journal of Ambient Computing and Intelligence, 2021 This work proposes a new exchangeability test for a random sequence through a martingale-based approach. Its main contributions include 1) an additive martingale which is more amenable for designing exchangeability tests by exploiting the Hoeffding-Azuma lemma and 2) different betting functions for constructing the additive martingale.
Liang Dai, Mohamed-Rafik Bouguelia
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Remote Sensing, 2023 Change detection (CD) is a technique widely used in remote sensing for identifying the differences between data acquired at different times. Most existing 3D CD approaches voxelize point clouds into 3D grids, project them into 2D images, or rasterize ...
Ming Han +3 more
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Change-point detection in high-dimensional covariance structure [PDF]
, 2017 In this paper we introduce a novel approach for an important problem of break detection. Specifically, we are interested in detection of an abrupt change in the covariance structure of a high-dimensional random process – a problem, which has applications
Buzun, Nazar, Avanesov, Valeriy
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Real-Time Change Point Detection with application to Smart Home Time Series Data. [PDF]
IEEE Trans Knowl Data Eng, 2019 Aminikhanghahi S, Wang T, Cook DJ.
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A note on online change point detection
Sequential Analysis, 2023 We investigate sequential change point estimation and detection in univariate nonparametric settings, where a stream of independent observations from sub-Gaussian distributions with a common variance factor and piecewise-constant but otherwise unknown means are collected. We develop a simple CUSUM-based methodology that provably control the probability
Yu, Yi +3 more
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