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Fast detection of multiple change-points shared by many signals using group LARS

2020-01-06 | |  63 |   41 |   0

Abstract

We present a fast algorithm for the detection of multiple change-points when each is frequently shared by members of a set of co-occurring one-dimensional signals. We give conditions on consistency of the method when the number of signals increases, and provide empirical evidence to support the consistency results.

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