Impact of Smoothing Parameter on Change Point Detection by Sparse Parameter Estimation
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60162694%3AG42__%2F11%3A00448954" target="_blank" >RIV/60162694:G42__/11:00448954 - isvavai.cz</a>
Result on the web
<a href="http://vavtest.unob.cz/registr" target="_blank" >http://vavtest.unob.cz/registr</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Impact of Smoothing Parameter on Change Point Detection by Sparse Parameter Estimation
Original language description
The contribution is focused on change point detection in a one-dimensional stochastic process using sparse parameter estimation from an overparametrized model. A stochastic process with change in the mean is estimated using dictionary consisting of Heaviside functions. Among all possible representations of the process we want to find a sparse one utilizing a significantly reduced number of atoms. The basis pursuit algorithm is used to get sparse parameter estimates. The basis pursuit approach proposes an alternative technique of the change point detection. In this contribution the authors calculate empirical probability of successful change point detection as a function depending on the smoothing parameter and the level of standard deviation of an additive white noise of the stochastic process. The empirical probability was computed by simulations where locations of change points were chosen randomly from uniform distribution.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
XXVII International Conference Problems Of Decision Making Under Uncertainties (PDMU-2011)
ISBN
978-966-188-227-9
ISSN
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e-ISSN
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Number of pages
2
Pages from-to
24-25
Publisher name
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Place of publication
Kijev
Event location
Yalta, Ukraine
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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