Multiple Change Point Estimation in Stationary Ergodic Time Series

Given a heterogeneous time-series sample, it is required to find the points in time (called change points) where the probability distribution generating the data has changed. The data is assumed to have been generated by arbitrary, unknown, stationary ergodic distributions. No modeling, independence or mixing are made. A novel, computationally efficient, nonparametric method is proposed, and is shown to be asymptotically consistent in this general framework; the theoretical results are complemented with experimental evaluations.