Change Point Detection with Copula Entropy based Two-Sample Test

arXiv:2403.07892v1 Announce Type: cross
Abstract: Change point detection is a typical task that aim to find changes in time series and can be tackled with two-sample test. Copula Entropy is a mathematical concept for measuring statistical independence and a two-sample test based on it was introduced recently. In this paper we propose a nonparametric multivariate method for multiple change point detection with the copula entropy-based two-sample test. The single change point detection is first proposed as a group of two-sample …

abstract aim arxiv change concept copula cs.lg detection entropy measuring paper sample series statistical stat.me test time series type