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ICP

Seminar

Nonparametric change-point detection with sparse alternatives

Harchaoui, Z (INRIA and LJK)
Wednesday 15 January 2014, 10:30-11:00

Seminar Room 1, Newton Institute

Abstract

We consider the problem of detecting the change in mean in a sequence of Gaussian vectors. We assume that the change happens only in some of the components of the vector. We construct a nonparametric testing procedure that is adaptive to the number of changing components. Under high-dimensional assumptions we obtain the detection boundary and show the rate optimality of the test.

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