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Neural Computation

March 2016, Vol. 28, No. 3, Pages 594-612
(doi: 10.1162/NECO_a_00809)
© 2016 Massachusetts Institute of Technology
The Development of an Information Criterion for Change-Point Analysis
Article PDF (360.61 KB)

Change-point analysis is a flexible and computationally tractable tool for the analysis of times series data from systems that transition between discrete states and whose observables are corrupted by noise. The change point algorithm is used to identify the time indices (change points) at which the system transitions between these discrete states. We present a unified information-based approach to testing for the existence of change points. This new approach reconciles two previously disparate approaches to change-point analysis (frequentist and information based) for testing transitions between states. The resulting method is statistically principled, parameter and prior free, and widely applicable to a wide range of change-point problems.