Optimal Nonparametric Multivariate Change Point Detection and Localization

DOI10.1109/TIT.2021.3130330zbMath1495.62028arXiv1910.13289OpenAlexW2982521481MaRDI QIDQ5080034

Oscar-Hernan Madrid-Padilla, Yi Yu, Daren Wang, Alessandro Rinaldo

Publication date: 30 May 2022

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.13289

zbMATH Keywords

information-theoretic lower boundslocalization rateminimal signal-to-noise ratiomultivariate nonparametric change point detection problem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (4)

Multiscale Quantile Segmentation ⋮ Optimal multiple change-point detection for high-dimensional data ⋮ Data-driven selection of the number of change-points via error rate control ⋮ Bayesian Change Point Detection with Spike-and-Slab Priors

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