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Algebraic change-point detection

Author

Listed:
  • Michel Fliess

    (LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, ALIEN - Algebra for Digital Identification and Estimation - Inria Lille - Nord Europe - Inria - Institut National de Recherche en Informatique et en Automatique - Inria Saclay - Ile de France - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Cédric Join

    (ALIEN - Algebra for Digital Identification and Estimation - Inria Lille - Nord Europe - Inria - Institut National de Recherche en Informatique et en Automatique - Inria Saclay - Ile de France - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, CRAN - Centre de Recherche en Automatique de Nancy - UHP - Université Henri Poincaré - Nancy 1 - INPL - Institut National Polytechnique de Lorraine - CNRS - Centre National de la Recherche Scientifique)

  • Mamadou Mboup

    (ALIEN - Algebra for Digital Identification and Estimation - Inria Lille - Nord Europe - Inria - Institut National de Recherche en Informatique et en Automatique - Inria Saclay - Ile de France - Inria - Institut National de Recherche en Informatique et en Automatique - Centrale Lille - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, CRESTIC - Centre de Recherche en Sciences et Technologies de l'Information et de la Communication - EA 3804 - URCA - Université de Reims Champagne-Ardenne)

Abstract

Elementary techniques from operational calculus, differential algebra, and noncommutative algebra lead to a new approach for change-point detection, which is an important field of investigation in various areas of applied sciences and engineering. Several successful numerical experiments are presented.

Suggested Citation

  • Michel Fliess & Cédric Join & Mamadou Mboup, 2010. "Algebraic change-point detection," Post-Print inria-00439226, HAL.
    • Handle: RePEc:hal:journl:inria-00439226
    DOI: 10.1007/s00200-010-0119-z
    Note: View the original document on HAL open archive server: https://inria.hal.science/inria-00439226
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Michel Fliess & Cédric Join, 2009. "Systematic risk analysis: first steps towards a new definition of beta," Post-Print inria-00425077, HAL.
    2. Michel Fliess & C'edric Join, 2010. "Delta Hedging in Financial Engineering: Towards a Model-Free Approach," Papers 1005.0194, arXiv.org.
    3. Michel Fliess & C'edric Join & Fr'ed'eric Hatt, 2011. "Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?," Papers 1104.2124, arXiv.org, revised May 2011.
    4. Michel Fliess & Cédric Join, 2010. "Delta Hedging in Financial Engineering: Towards a Model-Free Approach," Post-Print inria-00479824, HAL.
    5. Michel Fliess & C'edric Join, 2013. "Systematic and multifactor risk models revisited," Papers 1312.5271, arXiv.org.
    6. Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Is a probabilistic modeling really useful in financial engineering? [A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?]," Post-Print hal-00585152, HAL.
    7. Michel Fliess & Cédric Join, 2013. "Systematic and multifactor risk models revisited," Post-Print hal-00920175, HAL.

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