WATCH: Wasserstein Change Point Detection for High-Dimensional Time Series Data.
Kamil FaberRoberto CorizzoBartlomiej SniezynskiMichael BaronNathalie JapkowiczPublished in: CoRR (2022)
Keyphrases
- change point detection
- high dimensional
- change point
- non stationary
- sequential data
- outlier detection
- singular spectrum analysis
- normalized maximum likelihood
- high dimensional time series
- pointwise
- multi dimensional
- variable selection
- dimensionality reduction
- hidden markov models
- similarity search
- data points
- feature space
- data mining