Detection of multiple change-points in multivariate data

Edgard M. Maboudou-Tchao and Douglas M. Hawkins

Journal of Applied Statistics, 2013, vol. 40, issue 9, 1979-1995

Abstract: The statistical analysis of change-point detection and estimation has received much attention recently. A time point such that observations follow a certain statistical distribution up to that point and a different distribution -- commonly of the same functional form but different parameters after that point -- is called a change-point. Multiple change-point problems arise when we have more than one change-point. This paper develops a method for multivariate normally distributed data to detect change-points and estimate within-segment parameters using maximum likelihood estimation.

Date: 2013
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DOI: 10.1080/02664763.2013.800471

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