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Consistent Change P...
Consistent Change Point Detection for Piecewise Constant Signals With Normalized Fused LASSO
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- Owrang, Arash (författare)
- KTH,Teknisk informationsvetenskap,ACCESS Linnaeus Centre
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- Malek-Mohammadi, Mohammadreza (författare)
- KTH,Reglerteknik,ACCESS Linnaeus Centre
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- Proutiere, Alexandre (författare)
- KTH,Reglerteknik,ACCESS Linnaeus Centre
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- Jansson, Magnus (författare)
- KTH,Teknisk informationsvetenskap,ACCESS Linnaeus Centre
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(creator_code:org_t)
- Institute of Electrical and Electronics Engineers (IEEE), 2017
- 2017
- Engelska.
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Ingår i: IEEE Signal Processing Letters. - : Institute of Electrical and Electronics Engineers (IEEE). - 1070-9908 .- 1558-2361. ; 24:6, s. 799-803
- Relaterad länk:
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https://kth.diva-por... (primary) (Raw object)
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- We consider the problem of offline change point detection from noisy piecewise constant signals. We propose normalized fused LASSO (FL), an extension of the FL, obtained by normalizing the columns of the sensing matrix of the LASSO equivalent. We analyze the performance of the proposed method, and in particular, we show that it is consistent in detecting change points as the noise variance tends to zero. Numerical experiments support our theoretical findings.
Ämnesord
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)
Nyckelord
- Change point detection
- fused LASSO (FL)
- irrepresentable condition
- piecewise constant
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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