The Parameters Optimization of Filtered Derivative for Change Points Analysis

摘要

Let $mathbf{X} = ( X_1,X_2,ldots,X_N )$ be a time series. That is a sequence random variable ?indexed by the time $t=(1,2,ldots,N)$, we suppose that the parameters of $mathbf{X}$ are piecewise constant. In other words, it exists a subdivision $au=(au_1< au_2