Sequential change-point detection based on direct density-ratio estimation
Statistical Analysis and Data Mining
Change-point detection in time-series data by relative density-ratio estimation
SSPR'12/SPR'12 Proceedings of the 2012 Joint IAPR international conference on Structural, Syntactic, and Statistical Pattern Recognition
Neural Computation
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In this paper, we propose series of algorithms for detecting change points in time-series data based on subspace identification, meaning a geometric approach for estimating linear state-space models behind time-series data. Our algorithms are derived from the principle that the subspace spanned by the columns of an observability matrix and the one spanned by the subsequences of time-series data are approximately equivalent. In this paper, we derive an batchtype algorithm applicable to ordinary time-series data, i.e. consisting of only output series, and then introduce the online version of the algorithm and the extension to be available with input-output time-series data. We illustrate the effectiveness of our algorithms with comparative experiments using some artificial and real datasets.