Year: 2020
Type: preprint
Abstract: This paper reviews recent developments in fundamental limits and optimal algorithms for change point analysis. We focus on minimax optimal rates in change point detection and localisation, in both parametric and nonparametric models. We start with the univariate mean change point analysis problem and review the state-of-the-art results in the literature. We then move on to more complex data types and investigate general principles behind the optimal procedures that lead to minimax rate-optimal results.
Source: arXiv (Cornell University)
Author: Yu, Yi
Language: English
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3097235546