Change-Point Detection in Time-Series Data by Relative Density-Ratio Estimation

摘要

The objective of change-point detection is to discover abrupt property changes lying behind time series data. In this paper, we present a novel statistical change-point detection algorithm that is based on non-parametric divergence estimation between two retrospective segments. Our method uses the relative Pearson divergence as a divergence measure, and it is accurately and efficiently estimated by a method of direct density-ratio estimation. Through experiments on artificial and real-world datasets including human-activity sensing, speeches, and Twitter archives, we demonstrate the usefulness of the proposed method.