Change point detection by basis pursuit
| Authors | |
|---|---|
| Year of publication | 2009 |
| Type | Article in Proceedings |
| Conference | Proceedings ROBUST 2008 |
| MU Faculty or unit | |
| Citation | |
| Web | http://www.econ.muni.cz/~vesely/papers/Robust08.pdf |
| Field | Applied statistics, operation research |
| Keywords | change point detection;overcomplete model;sparse parameter estimation |
| Description | The contribution deals with overcomplete models and sparse parameter estimation for change point detection in one-dimensional stochastic processes. These processes are estimated by Heaviside functions. The BASIS PURSUIT algorithm is used to get sparse parameter estimate. The mentioned method of change point detection in stochastic processes is compared with standard methods by simulations. |
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