Change-point detection aims at discovering behavior changes lying behind time sequences data. In this paper, we investigate the case where the data come from an inhomogenous Poisson process or a marked Poisson process.
We present an offline multiple change-point detection methodology based on minimum contrast estimator. In particular we explain how to deal with the continuous nature of the process together with the discrete available observations. Besides, we select the appropriate number of regimes through a cross-validation procedure which is really convenient here due to the nature of the Poisson process.
Through experiments on simulated and realworld datasets, we show the interest of the proposed method, which is implemented in the CptPointProcess R package.