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stat.ML2019
Bayesian Model Selection for Change Point Detection and Clustering
Othmane Mazhar, Cristian R. Rojas, Carlo Fischione +1
We address the new problem of estimating a piece-wise constant signal with the purpose of detecting its change points and the levels of clusters. Our approach is to model it as a n…
stat.ML2019
A Finite-Sample Deviation Bound for Stable Autoregressive Processes
Rodrigo A. González, Cristian R. Rojas
In this paper, we study non-asymptotic deviation bounds of the least squares estimator in Gaussian AR() processes. By relying on martingale concentration inequalities and a tail…