Sequential change-point detection via the Cross-Entropy method

2012 ◽  
Author(s):  
Georgy Sofronov ◽  
Tatiana Polushina ◽  
Madawa Priyadarshana
Keyword(s):  
Change Point ◽  
Entropy Method ◽  
Change Point Detection ◽  
Cross Entropy ◽  
Sequential Change ◽  
Cross Entropy Method ◽  
The Cross ◽  
Point Detection

scholarly journals Change-Point Detection in Autoregressive Processes via the Cross-Entropy Method

Algorithms ◽  
2020 ◽  
Vol 13 (5) ◽  
pp. 128
Author(s):  
Lijing Ma ◽  
Georgy Sofronov
Keyword(s):  
Time Series ◽  
Change Point ◽  
Minimum Description Length ◽  
Entropy Method ◽  
Change Point Detection ◽  
Cross Entropy ◽  
Change Points ◽  
Underlying Structure ◽  
Cross Entropy Method ◽  
Point Detection

It is very often the case that at some moment a time series process abruptly changes its underlying structure and, therefore, it is very important to accurately detect such change-points. In this problem, which is called a change-point (or break-point) detection problem, we need to find a method that divides the original nonstationary time series into a piecewise stationary segments. In this paper, we develop a flexible method to estimate the unknown number and the locations of change-points in autoregressive time series. In order to find the optimal value of a performance function, which is based on the Minimum Description Length principle, we develop a Cross-Entropy algorithm for the combinatorial optimization problem. Our numerical experiments show that the proposed approach is very efficient in detecting multiple change-points when the underlying process has moderate to substantial variations in the mean and the autocorrelation coefficient. We also apply the proposed method to real data of daily AUD/CNY exchange rate series from 2 January 2018 to 24 March 2020.

scholarly journals LPD Communication: A Sequential Change-Point Detection Perspective

2020 ◽  
Vol 68 (4) ◽  
pp. 2474-2490
Author(s):  
Ke-Wen Huang ◽  
Hui-Ming Wang ◽  
Don Towsley ◽  
H. Vincent Poor
Keyword(s):  
Change Point ◽  
Change Point Detection ◽  
Sequential Change ◽  
Point Detection
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