14.11 A Case Study: Change-Point Detection

The task of change-point detection is of major importance in a number of scientific disciplines, ranging from engineering and sociology to economics and environmental studies. The accumulated literature is vast; see, for example, [1, 19, 36], and the references therein. The aim of the change-point identification task is to detect partitions in a sequence of observations, in order for the data in each block to be statistically “similar,” in other words, to be distributed according to a common probability distribution. The hidden Markov models (HMMs) and the dynamical Bayesian methods, which are discussed in Chapter 17, come under this more general umbrella of problems. Our goal in this example is to ...

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