Latent Stochastic Differential Equations for Change Point Detection.
Artem RyzhikovMikhail HushchynDenis DerkachPublished in: IEEE Access (2023)
Keyphrases
- change point detection
- stochastic differential equations
- non stationary
- fractional brownian motion
- change point
- maximum a posteriori estimation
- brownian motion
- outlier detection
- sequential data
- normalized maximum likelihood
- latent variables
- additive gaussian noise
- hidden markov models
- differential equations
- random fields
- knowledge discovery
- dynamic programming
- feature extraction