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Change-Point Detection in Time-Series Data by Relative Density-Ratio Estimation (情報論的学習理論と機械学習)

Song Liu, +2 more
- Vol. 111, Iss: 275, pp 187-198
TLDR
This paper presents a novel statistical change-point detection algorithm based on non-parametric divergence estimation between time-series samples from two retrospective segments that is accurately and efficiently estimated by a method of direct density-ratio estimation.
Abstract
The objective of change-point detection is to discover abrupt property changes lying behind time-series data. In this paper, we present a novel statistical change-point detection algorithm based on non-parametric divergence estimation between time-series samples from two retrospective segments. Our method uses the relative Pearson divergence as a divergence measure, and it is accurately and efficiently estimated by a method of direct density-ratio estimation. Through experiments on artificial and real-world datasets including human-activity sensing, speech, and Twitter messages, we demonstrate the usefulness of the proposed method.

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