To cite package ‘fastcpd’ in publications use:
Li X, Zhang X, Dawn T (2023). _fastcpd: Fast Change Point Detection
via Sequential Gradient Descent_. R package version 0.9.8,
.
A BibTeX entry for LaTeX users is
@Manual{,
title = {fastcpd: Fast Change Point Detection via Sequential Gradient Descent},
author = {Xingchi Li and Xianyang Zhang and Trisha Dawn},
year = {2023},
note = {R package version 0.9.8},
url = {https://CRAN.R-project.org/package=fastcpd},
}
Zhang X, Dawn T (2023). “Sequential Gradient Descent and
Quasi-Newton's Method for Change-Point Analysis.” In Ruiz, Francisco,
Dy, Jennifer, van de Meent, Jan-Willem (eds.), _Proceedings of The
26th International Conference on Artificial Intelligence and
Statistics_, volume 206 series Proceedings of Machine Learning
Research, 1129-1143.
.
A BibTeX entry for LaTeX users is
@InProceedings{,
title = {Sequential Gradient Descent and Quasi-Newton's Method for Change-Point Analysis},
author = {Xianyang Zhang and Trisha Dawn},
year = {2023},
booktitle = {Proceedings of The 26th International Conference on Artificial Intelligence and Statistics},
volume = {206},
pages = {1129--1143},
editor = {{Ruiz} and {Francisco} and {Dy} and {Jennifer} and {van de Meent} and {Jan-Willem}},
series = {Proceedings of Machine Learning Research},
month = {25--27 Apr},
publisher = {PMLR},
pdf = {https://proceedings.mlr.press/v206/zhang23b/zhang23b.pdf},
url = {https://proceedings.mlr.press/v206/zhang23b.html},
abstract = {One common approach to detecting change-points is minimizing a cost function over possible numbers and locations of change-points. The framework includes several well-established procedures, such as the penalized likelihood and minimum description length. Such an approach requires finding the cost value repeatedly over different segments of the data set, which can be time-consuming when (i) the data sequence is long and (ii) obtaining the cost value involves solving a non-trivial optimization problem. This paper introduces a new sequential updating method (SE) to find the cost value effectively. The core idea is to update the cost value using the information from previous steps without re-optimizing the objective function. The new method is applied to change-point detection in generalized linear models and penalized regression. Numerical studies show that the new approach can be orders of magnitude faster than the Pruned Exact Linear Time (PELT) method without sacrificing estimation accuracy.},
}