Score-based change point detection via tracking the best of infinitely many experts

Code

• github.com/lipperr/score_based_change_point_detection
  OfficialIn papernone★ 0

Abstract

We suggest a novel algorithm for online change point detection based on sequential score function estimation and tracking the best expert approach. The core of the procedure is a version of the fixed share forecaster for the case of infinite number of experts and quadratic loss functions. The algorithm shows a promising performance in numerical experiments on artificial and real-world data sets. We also derive new upper bounds on the dynamic regret of the fixed share forecaster with varying parameter, which are of independent interest.

Tasks

Reproductions