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Accuracy of Divergence Measures for Detection of Abrupt Changes
Authors: P. Bergl
Abstract:
Numerous divergence measures (spectral distance, cepstral distance, difference of the cepstral coefficients, Kullback-Leibler divergence, distance given by the General Likelihood Ratio, distance defined by the Recursive Bayesian Changepoint Detector and the Mahalanobis measure) are compared in this study. The measures are used for detection of abrupt spectral changes in synthetic AR signals via the sliding window algorithm. Two experiments are performed; the first is focused on detection of single boundary while the second concentrates on detection of a couple of boundaries. Accuracy of detection is judged for each method; the measures are compared according to results of both experiments.Keywords: Abrupt changes detection, autoregressive model, divergence measure.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1055745
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