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Optimal detection of changepoints with a linear computational cost

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, no. 500 (2012): 1590-1598

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In this article, we consider the problem of detecting multiple changepoints in large datasets. Our focus is on applications where the number of changepoints will increase as we collect more data: for example, in genetics as we analyze larger regions of the genome, or in finance as we observe time series over longer periods. We consider th...更多

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