A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf
.
Catching Change-points with Lasso
2007
Neural Information Processing Systems
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
dblp:conf/nips/HarchaouiL07
fatcat:x5bhjdnfpzbohfmfs5pxbmbyua