Program, apparatus and method capable of detecting time series change point based on cross-correlation

摘要

PROBLEM TO BE SOLVED: To provide a program with which it is possible to properly detect a change point from time-series data while suppressing an increase in calculation costs.SOLUTION: The program causes a computer to function as: cross correlation data determination means for determining one or a plurality of time-series data indicating a high cross correlation, with reference time-series data, that satisfies a prescribed condition in a negative time lag value; feature value generation means for generating a correlation matrix pertaining to one point of time from a time-series data group including the reference time-series data and the determined time-series data, and, with a scalar value corresponding to a difference in direction between a representative vector generated from matrix elements pertaining to one time-series data included in the time-series data group and an eigenvector of the correlation matrix assumed as a feature value, generating feature value time-series data that includes the feature value at each point of time; and change point determination means for determining a change point in the one time-series data on the basis of fluctuation of a feature value in the feature value time-series data.SELECTED DRAWING: Figure 1