Kernel Change-point Detection with Auxiliary Deep Generative Models

Detecting the emergence of abrupt property changes in time series is a challenging problem. Kernel two-sample test has been studied for this task which makes fewer assumptions on the distributions than traditional parametric approaches. However, selecting kernels is non-trivial in practice. Although kernel selection for two-sample test has been studied, the insufficient samples in change point detection problem hinder the success of those developed kernel selection algorithms. In this paper, we propose KL-CPD, a novel kernel learning framework for time series CPD that optimizes a lower bound of test power via an auxiliary generative model. With deep kernel parameterization, KL-CPD endows kernel two-sample test with the data-driven kernel to detect different types of change-points in real-world applications. The proposed approach significantly outperformed other state-of-the-art methods in our comparative evaluation of benchmark datasets and simulation studies.

PDF Abstract ICLR 2019 PDF ICLR 2019 Abstract


  Add Datasets introduced or used in this paper

Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.


No methods listed for this paper. Add relevant methods here