Kernel Change-point Detection with Auxiliary Deep Generative Models

Wei-Cheng Chang, Chun-Liang Li, Yiming Yang, Barnabás Póczos

Abstract: Detecting the emergence of abrupt property changes in time series is a challenging problem. Kernel two-sample test has been studied for this task which makes fewer assumptions on the distributions than traditional parametric approaches. However, selecting kernels is non-trivial in practice. Although kernel selection for the two-sample test has been studied, the insufficient samples in change point detection problem hinder the success of those developed kernel selection algorithms. In this paper, we propose KL-CPD, a novel kernel learning framework for time series CPD that optimizes a lower bound of test power via an auxiliary generative model. With deep kernel parameterization, KL-CPD endows kernel two-sample test with the data-driven kernel to detect different types of change-points in real-world applications. The proposed approach significantly outperformed other state-of-the-art methods in our comparative evaluation of benchmark datasets and simulation studies.

Keywords: deep kernel learning, generative models, kernel two-sample test, time series change-point detection

TL;DR: In this paper, we propose KL-CPD, a novel kernel learning framework for time series CPD that optimizes a lower bound of test power via an auxiliary generative model as a surrogate to the abnormal distribution.

Code: [ OctoberChang/klcpd_code](https://github.com/OctoberChang/klcpd_code) + [ 1 community implementation](https://paperswithcode.com/paper/?openreview=r1GbfhRqF7)

Community Implementations: [ 2 code implementations](https://www.catalyzex.com/paper/arxiv:1901.06077/code)