LAN, Ruizhi (2016) A Change Point Detection Method via Density-Ratio Estimation PFE - Project Graduation, ENSTA.

Restricted to Registered users only



This report contains a study of a change point detection by direct approximation of -relatice density ratio. We present a non-parametric, multi-dimensional change point detection method which has a generally satisfactory performance on any in put time series, especially for ARMA time series,then realize the algorithm on Python and compare it with existing methods. In this article, we use articial and real life data to test this detection method. A basic introduction of change point is presented at the beginning of this report. Then, a relative Pearson divergence via least-squares relative density ratio approximation is introduced. After that, the numerical experiments and caparison with other methods are shown as the third part. Finally, we make the conclusion and present problems and further work to do.

Item Type:Thesis (PFE - Project Graduation)
Uncontrolled Keywords:Density ratio, Change point detection, Pearson divergence, Time series
Subjects:Mathematics and Applications
ID Code:6872
Deposited By:Ruizhi Lan
Deposited On:17 janv. 2017 10:32
Dernière modification:17 janv. 2017 10:32

Repository Staff Only: item control page