Offline Changepoint Detection With Gaussian Processes

This work proposes Segmenting changepoint Gaussian process regression (SegCPGP), an offline changepoint detection method that integrates Gaussian process regression with the changepoint kernel, the likelihood ratio test and binary search. We use the spectral mixture kernel to detect various types of changes without prior knowledge of their type. SegCPGP outperforms state-of-the-art methods when detecting various change types in synthetic datasets; in real world changepoint detection datasets, it performs on par with its competitors. While its hypothesis test shows slight miscalibration, we find SegCPGP remains reasonably reliable.