Seeded intervals and noise level estimation in change point detection: A discussion of Fryzlewicz (2020)

23 Jun 2020 · Solt Kovács, Housen Li, Peter Bühlmann ·

In this discussion, we compare the choice of seeded intervals and that of random intervals for change point segmentation from practical, statistical and computational perspectives. Furthermore, we investigate a novel estimator of the noise level, which improves many existing model selection procedures (including the steepest drop to low levels), particularly for challenging frequent change point scenarios with low signal-to-noise ratios.

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Seeded intervals and noise level estimation in change point detection: A discussion of Fryzlewicz (2020)

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