Change Point Detection with Neural Online Density-Ratio Estimator

Detecting change points in streaming time series data is a long standing problem in signal processing. A plethora of methods have been proposed to address it, depending on the hypotheses at hand. Non-parametric approaches are particularly interesting as they do not make any assumption on the distribution of data or on the nature of changes. Nevertheless, leveraging recent advances in deep learning to detect change points in time series data is still challenging. In this paper, we propose a change point detection method using an online approach based on neural networks to directly estimate the density-ratio between current and reference windows of the data stream. A variational continual learning framework is employed to train the neural network in an online manner while retaining information learned from past data. This leads to a statistically-principled fully nonparametric framework to detect change points from streaming data. Experimental results with synthetic and real data illustrate the effectiveness of the proposed approach.