Piryatinska Alexandra, Darkhovsky Boris
Department of Mathematics, San Francisco State University, 1600 Holloway Ave., San Francisco, CA 94132, USA.
Institute for Systems Analysis, FRC CSC RAS 9 Pr. 60-Letiya Oktyabrya, 117312 Moscow, Russia.
Entropy (Basel). 2021 Dec 2;23(12):1626. doi: 10.3390/e23121626.
We consider a retrospective change-point detection problem for multidimensional time series of arbitrary nature (in particular, panel data). Change-points are the moments at which the changes in generating mechanism occur. Our method is based on the new theory of ϵ-complexity of individual continuous vector functions and is model-free. We present simulation results confirming the effectiveness of the method.
我们考虑任意性质的多维时间序列(特别是面板数据)的回顾性变点检测问题。变点是生成机制发生变化的时刻。我们的方法基于单个连续向量函数的ϵ-复杂度新理论,且无需模型。我们给出的模拟结果证实了该方法的有效性。