A Review of Changepoint Detection Models

Yixiao Li, Gloria Lin, Thomas Lau and Ruochen Zeng

Papers from arXiv.org

Abstract: The objective of the change-point detection is to discover the abrupt property changes lying behind the time-series data. In this paper, we firstly summarize the definition and in-depth implication of the changepoint detection. The next stage is to elaborate traditional and some alternative model-based changepoint detection algorithms. Finally, we try to go a bit further in the theory and look into future research directions.

Date: 2019-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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