Change-point detection apparatus, method and program therefor

Details Change-point detection apparatus, method and program therefor Change-point detection apparatus, method and program therefor

2006-03-21

2006-03-21

Nghiem, Michael (Department: 2863)

Data processing: measuring, calibrating, or testing

Measurement system in a specific environment

Electrical signal parameter measurement system

Reexamination Certificate

active

07016797

ABSTRACT:
A time-series model learning unit reads in time-series data sequentially, learns the parameters of a time-series model and stores the parameters in a storage device. A loss function calculating unit reads in sequentially from storage each item of the input time-series data one at a time and calculates values of a loss function. A complexity calculating unit sums the loss values to sequentially calculate complexity as fitting error resulting when a time-series model is fit to the input data. Complexity is stored. A change-point searching unit reads in complexity regarding time-series data before and after change-point candidates from storage with respect to all change-point candidates, compares the sum of the complexities with complexity regarding all time-series data in a case where a change point is assumed to be absent, calculates the change-point score based upon the difference between the compared values, and detects and outputs the change point.

REFERENCES:
patent: 2005/0102122 (2005-05-01), Maruyama et al.
V. Guralnik and J. Stivastava, “Event Detection from Time Series Data”, Proceedings of the Fifth ACM-SIGKDD International Conference on Knowledge Discovery and Data Mining, p. 33-42, ACM Press, 1999.

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