A Multivariate Change Point Detection Procedure for Monitoring Mean and Covariance Simultaneously.
Eralp DoguIpek Deveci KocakoçPublished in: Commun. Stat. Simul. Comput. (2013)
Keyphrases
- change point detection
- change point
- non stationary
- outlier detection
- singular spectrum analysis
- sequential data
- normalized maximum likelihood
- high dimensional time series
- multivariate gaussian distribution
- covariance matrix
- fixed length
- data sets
- regression model
- kernel function
- hidden markov models
- video sequences
- data mining