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Consistent Change Point Detection for Piecewise Constant Signals With Normalized Fused LASSO
KTH, School of Electrical Engineering (EES), Information Science and Engineering. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Information Science and Engineering. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
2017 (English)In: IEEE Signal Processing Letters, ISSN 1070-9908, E-ISSN 1558-2361, Vol. 24, no 6, 799-803 p.Article in journal (Refereed) Published
Abstract [en]

We consider the problem of offline change point detection from noisy piecewise constant signals. We propose normalized fused LASSO (FL), an extension of the FL, obtained by normalizing the columns of the sensing matrix of the LASSO equivalent. We analyze the performance of the proposed method, and in particular, we show that it is consistent in detecting change points as the noise variance tends to zero. Numerical experiments support our theoretical findings.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2017. Vol. 24, no 6, 799-803 p.
Keyword [en]
Change point detection, fused LASSO (FL), irrepresentable condition, piecewise constant
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:kth:diva-208792DOI: 10.1109/LSP.2017.2678516ISI: 000401092400015Scopus ID: 2-s2.0-85018874755OAI: oai:DiVA.org:kth-208792DiVA: diva2:1109499
Funder
Swedish Research Council, 2015-05484
Note

QC 20170614

Available from: 2017-06-14 Created: 2017-06-14 Last updated: 2017-06-14Bibliographically approved

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Owrang, ArashMalek-Mohammadi, MohammadrezaProutiere, AlexandreJansson, Magnus
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