Detecting the Change Points in a Time Series

Suppose you wear an iWatch to monitor your heart rate. You run for a quarter mile, walk for ten minutes, then run for another quarter mile. The heart rate data will look like the time series in Figure 1. It shows a cluster of high heart rates, then a cluster of low heart rates, then back to high rates. The abrupt changes in the time series inform us the source object has major activity changes. Similarly…