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SCHEDULE: NOV 16-21, 2014
When viewing the Technical Program schedule, on the far righthand side is a column labeled "PLANNER." Use this planner to build your own schedule. Once you select an event and want to add it to your personal schedule, just click on the calendar icon of your choice (outlook calendar, ical calendar or google calendar) and that event will be stored there. As you select events in this manner, you will have your own schedule to guide you through the week.
Comparing Algorithms for Detecting Abrupt Change Points in Data
SESSION: Poster Reception
EVENT TYPE: Posters
TIME: 5:15PM - 7:00PM
AUTHOR(S):Cody L. Buntain, Christopher Natoli, Miroslav Živković
ROOM:New Orleans Theater Lobby
ABSTRACT:
Detecting points in data where the underlying distribution changes is not a new task, but much of the existing literature assumes univariate and independent data, assumptions often violated in real data sets. This work addresses this gap in the literature by implementing a set of change point detection algorithms and a test harness for evaluating their performance and relative strengths and weaknesses in multi-variate data of varying dimension and temporal dependence. We then apply our implementations to real-world data taken from structural sensors placed on laboratory a bridge and two years of Bitcoin market data from the Mt. Gox exchange. Though more work is necessary to explore these real-world data sets more thoroughly, our results demonstrate circumstances in which an online, non-parametric algorithm does and does not perform as well as offline, parametric algorithms and provides an early foundation for future investigations.
Chair/Author Details:
Cody L. Buntain - University of Maryland
Christopher Natoli - University of Chicago
Miroslav Živković - University of Amsterdam
Click here to download .ics calendar file
