nips nips2007 nips2007-43 nips2007-43-reference knowledge-graph by maker-knowledge-mining
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Author: Céline Levy-leduc, Zaïd Harchaoui
Abstract: We propose a new approach for dealing with the estimation of the location of change-points in one-dimensional piecewise constant signals observed in white noise. Our approach consists in reframing this task in a variable selection context. We use a penalized least-squares criterion with a 1 -type penalty for this purpose. We prove some theoretical results on the estimated change-points and on the underlying piecewise constant estimated function. Then, we explain how to implement this method in practice by combining the LAR algorithm and a reduced version of the dynamic programming algorithm and we apply it to synthetic and real data. 1
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