Consistent Change Point Detection for Piecewise Constant Signals With Normalized Fused LASSO

Arash Owrang, Mohammadreza Malek-Mohammadi, Alexandre Proutière, Magnus Jansson

Abstract: We consider the problem of offline change point detection from noisy piecewise constant signals. We propose normalized fused LASSO (FL), an extension of the FL, obtained by normalizing the columns of the sensing matrix of the LASSO equivalent. We analyze the performance of the proposed method, and in particular, we show that it is consistent in detecting change points as the noise variance tends to zero. Numerical experiments support our theoretical findings.