A Fast Screen and Shape Recognition Algorithm for Multiple Change-Point Detection

Abstract

A Fast Screen and Shape Recognition (FSSR) algorithm is proposed with complexity down to O(n) for the multiple change-point detection problems. The proposed FSSR algorithm includes two steps. First, by dividing the data into several subsegments, FSSR algorithm can quickly lock some small subsegments that are likely to contain change-points. Second, through a point by point search in each selected subsegment, FSSR algorithm determines the precise location of the change-point. The simulation study shows that FSSR has obvious speed and stability advantages. Particularly, the sparser the change-points is, the better result will be achieved from FRRS. Finally, we apply FSSR to two real applications to demonstrate its feasibility and robustness. One is the problem of DNA copy number variations identifying; another is the problem of operation scenarios reduction for renewable integrated electrical distribution network.