Non-parametric multiple change-point detection

Abstract: We introduce a methodology, labelled Non-Parametric Isolate-Detect (NPID), for the consistent estimation of the number and locations of multiple change-points in a non-parametric setting. The method can handle general distributional changes and is based on an isolation technique preventing the consideration of intervals that contain more than one change-point, which enhances the estimation accuracy. As stopping rules, we propose both thresholding and the optimization of an information criterion. In the scenarios tested, which cover a broad range of change types, NPID outperforms the state of the art. An R implementation is provided.