Catching Change-points with Lasso

Zaïd Harchaoui, Céline Lévy-Leduc
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
more » ... ractice by combining the LAR algorithm and a reduced version of the dynamic programming algorithm and we apply it to synthetic and real data.
dblp:conf/nips/HarchaouiL07 fatcat:x5bhjdnfpzbohfmfs5pxbmbyua