Change-point detection apparatus, method and program therefor

Abstract

A time-series model learning unit reads in time-series data sequentially, learns the parameters of a time-series model and stores the parameters in a storage device. A loss function calculating unit reads in sequentially from storage each item of the input time-series data one at a time and calculates values of a loss function. A complexity calculating unit sums the loss values to sequentially calculate complexity as fitting error resulting when a time-series model is fit to the input data. Complexity is stored. A change-point searching unit reads in complexity regarding time-series data before and after change-point candidates from storage with respect to all change-point candidates, compares the sum of the complexities with complexity regarding all time-series data in a case where a change point is assumed to be absent, calculates the change-point score based upon the difference between the compared values, and detects and outputs the change point.