Optimal Detection of Changepoints With a Linear Computational Cost
نویسندگان
چکیده
منابع مشابه
Optimal detection of changepoints with a linear computational cost
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 func...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2012
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2012.737745