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Retrain or not retrain: conformal test martingales for change-point detection.
Vladimir Vovk
Ivan Petej
Ilia Nouretdinov
Ernst Ahlberg
Lars Carlsson
Alex J. Gammerman
Published in:
COPA (2021)
Keyphrases
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change point detection
change point
non stationary
high dimensional time series
databases
sequential data
data sets
outlier detection
singular spectrum analysis
neural network
high dimensional
spatio temporal
probability theory
normalized maximum likelihood