Kernel change-point detection

We tackle the change-point problem with data belonging to a general set. We propose a penalty for choosing the 
number of change-points in the kernel-based method of Harchaoui and Cappe (2007). This penalty generalizes the 
one proposed for one dimensional signals by Lebarbier (2005). We prove it satisfies a non-asymptotic oracle 
inequality by showing a new concentration result in Hilbert spaces. Experiments on synthetic and real data 
illustrate the accuracy of our method, showing it can detect changes in the whole distribution of data, even when 
the mean and variance are constant. Our algorithm can also deal with data of complex nature, such as the GIST 
descriptors which are commonly used for video temporal segmentation.