A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
多变量数据多重变点分析的非参数方法
Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data are continually arriving and are analyzed adaptively. We are concerned with the related, but distinct, offline version, in which retrospective analysis of an entire sequence is performed. For a set of multivariate observations of arbitrary…