Multinomial Sampling for Hierarchical Change-Point Detection

• URL: http://arxiv.org/abs/2007.12420v2
• Date: Tue, 3 Nov 2020 17:45:26 GMT
• Title: Multinomial Sampling for Hierarchical Change-Point Detection
• Authors: Lorena Romero-Medrano, Pablo Moreno-Mu\~noz and Antonio Art\'es-Rodr\'iguez
• Abstract summary: We propose a multinomial sampling methodology that improves the detection rate and reduces the delay. Our experiments show results that outperform the baseline method and we also provide an example oriented to a human behavior study.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Bayesian change-point detection, together with latent variable models, allows to perform segmentation over high-dimensional time-series. We assume that change-points lie on a lower-dimensional manifold where we aim to infer subsets of discrete latent variables. For this model, full inference is computationally unfeasible and pseudo-observations based on point-estimates are used instead. However, if estimation is not certain enough, change-point detection gets affected. To circumvent this problem, we propose a multinomial sampling methodology that improves the detection rate and reduces the delay while keeping complexity stable and inference analytically tractable. Our experiments show results that outperform the baseline method and we also provide an example oriented to a human behavior study.

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