Kernel Change-point Analysis

We introduce a kernel-based method for change-point analysis within a sequence of temporal observations. Change-point analysis of an unlabelled sample of observations consists in, first, testing whether a change in the distribution occurs within the sample, and second, if a change occurs, estimating the change-point instant after which the distribution of the observations switches from one distribution to another different distribution. We propose a test statistic based upon the maximum kernel Fisher discriminant ratio as a measure of homogeneity between segments. We derive its limiting distribution under the null hypothesis (no change occurs), and establish the consistency under the alternative hypothesis (a change occurs). This allows to build a statistical hypothesis testing procedure for testing the presence of a change-point, with a prescribed false-alarm probability and detection probability tending to one in the large-sample setting. If a change actually occurs, the test statis...

• Type: Conference
• Year: 2008
• Where: NIPS
• Authors: Zaïd Harchaoui, Francis Bach, Eric Moulines
• Keywords: Change Occurs, Change-point Analysis, Information Technology, NIPS 2008, Test Statistic