The prior chapter gave us an introduction to time series analysis, allowing us to gain an appreciation for how it differs from standard univariate or multivariate analysis. One of the biggest differences in time series analysis is that we often do not care about a single outlier point itself; instead, we care about changes in overall system behavior—in particular, unexpected changes in system behavior. This is where the concept of change point detection becomes important.
In this chapter, we will define change point ...
