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Segmentation of the mean of heteroscedastic data via cross-validation

Statistics and Computing, no. 2 (2011): 1-20

Cited: 55|Views46

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Change-point detectionResamplingCross-validationModel selectionHeteroscedastic dataMore(1+)

Abstract

This paper tackles the problem of detecting abrupt changes in the mean of a heteroscedastic signal by model selection, without knowledge on the variations of the noise. A new family of change-point detection procedures is proposed, showing that cross-validation methods can be successful in the heteroscedastic framework, whereas most exi...More

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Sylvain Arlot

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Alain Celisse

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