Change-Point Detection in Time-Series Data by Relative Density-Ratio Estimation

The objective of change-point detection is to discover abrupt property changes lying behind time-series data. In this paper, we present a novel statistical change-point detection algorithm that is based on non-parametric divergence estimation between two retrospective segments. Our method uses the relative Pearson divergence as a divergence measure, and it is accurately and efficiently estimated by a method of direct density-ratio estimation. Through experiments on real-world human-activity sensing, speech, and Twitter datasets, we demonstrate the usefulness of the proposed method.