Change Point Detection by Sparse Parameter Estimation

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00052925" target="_blank" >RIV/00216224:14560/11:00052925 - isvavai.cz</a>

Alternative codes found

RIV/60162694:G42__/11:00445735

Result on the web

<a href="http://www.mii.lt/informatica/pdf/INFO812.pdf" target="_blank" >http://www.mii.lt/informatica/pdf/INFO812.pdf</a>

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Change Point Detection by Sparse Parameter Estimation

Original language description

The contribution is focused on change point detection in a one-dimensional stochastic process by sparse parameter estimation from an overparametrized model. A stochastic process with change in the mean is estimated using dictionary consisting of Heaviside functions. The basis pursuit algorithm is used to get sparse parameter estimates. The mentioned method of change point detection in a stochastic process is compared with several standard statistical methods by simulations.

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

—

Project

<a href="/en/project/GPP402%2F10%2FP209" target="_blank" >GPP402/10/P209: Models of time series and methods of change point detection</a><br>

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2011

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Informatica

ISSN

0868-4952

e-ISSN

—

Volume of the periodical

22

Issue of the periodical within the volume

1

Country of publishing house

LT - LITHUANIA

Number of pages

16

Pages from-to

149-164

UT code for WoS article

—

EID of the result in the Scopus database

—