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arXiv 2001.06386cs.LGstat.ML
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基于直接密度比估计的时间序列变点检测的推广

Generalization of Change-Point Detection in Time Series Data Based on Direct Density Ratio Estimation

National Research University Higher School of Economics(国立研究型大学高等经济学院)

Mikhail Hushchyn, Andrey Ustyuzhanin

摘要:

变点检测的目的是发现时间序列分布的变化。变点检测的现有技术方法之一是基于直接密度比估计。在这项工作中,我们将展示如何现有的算法可以推广使用各种二进制分类和回归模型。特别是,我们表明,梯度提升决策树和神经网络可以用于此目的。该算法在几个合成和真实世界的数据集上进行了测试。实验结果表明,该方法优于经典的RuLSIF算法.讨论的情况下,所提出的算法比现有的方法具有优势。

英文摘要:

The goal of the change-point detection is to discover changes of time series distribution. One of the state of the art approaches of the change-point detection are based on direct density ratio estimation. In this work we show how existing algorithms can be generalized using various binary classification and regression models. In particular, we show that the Gradient Boosting over Decision Trees and Neural Networks can be used for this purpose. The algorithms are tested on several synthetic and real-world datasets. The results show that the proposed methods outperform classical RuLSIF algorithm. Discussion of cases where the proposed algorithms have advantages over existing methods are also provided.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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