• DocumentCode
    3464681
  • Title

    Change Detection Method of Time Series as an Optimal Stopping Problem: Constructive Proof of Optimal Solution Theorem

  • Author

    Hattori, Tetauo ; Kawano, Hiromichi

  • fYear
    2011
  • fDate
    19-22 Sept. 2011
  • Firstpage
    100
  • Lastpage
    105
  • Abstract
    In the past paper, we have formulated the structural Change Point Detection (CPD) problem in time series data as an optimal stopping one using the concept of DP (Dynamic Programming). And, we have shown the optimal solution theorem and its proof using reduction to absurdity. In this paper, we present the direct and constructive proof of the optimal solution theorem for the problem.
  • Keywords
    Dynamic programming; Equations; Fitting; Mathematical model; Predictive models; Probabilistic logic; Time series analysis; Dynamic Programming; constructive proof; optimal stopping problem; structural change;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Biometrics and Kansei Engineering (ICBAKE), 2011 International Conference on
  • Conference_Location
    Takamatsu, Japan
  • Print_ISBN
    978-1-4577-1356-9
  • Electronic_ISBN
    978-0-7695-4512-7
  • Type

    conf

  • DOI
    10.1109/ICBAKE.2011.54
  • Filename
    6031259
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3464681