An introduction to change point detection

I will give an overview of the change point detection problem, broadly defined. That is: given a random sequence X_1, X_2, …, X_n with each X_i ~ F_i and a functional G we wish to determine whether the sequence G(F_1), G(F_2), …, G(F_n) is constant. If the sequence is found not to be constant there is often additional interest in determining the points at which the sequence changes.

I will discuss the twin problems of change point detection and localization, and introduce some powerful general purpose tools for solving these problems optimally.