Engineering Commons^™

Blind Change Point Detection And Regime Segmentation Using Gaussian Process Regression, Sourav Das

Theses and Dissertations

Time-series analysis is used heavily in modeling and forecasting weather, economics, medical data as well as in various other fields. Change point detection (CPD) means finding abrupt changes in the time-series when the statistical property of a certain part of it starts to differ. CPD has attracted a lot of attention in the artificial intelligence, machine learning and data mining communities. In this thesis, a novel CPD algorithm is introduced for segmenting multivariate time-series data. The proposed algorithm is a general pipeline to process any high dimensional multivariate time-series data using nonlinear non-parametric dynamic system. It consists of manifold learning …