Retrospective Change-Points Detection for Multidimensional Time Series of Arbitrary Nature: Model-Free Technology Based on the ϵ-Complexity Theory.

We consider a retrospective change-point detection problem for multidimensional time series of arbitrary nature (in particular, panel data). Change-points are the moments at which the changes in generating mechanism occur. Our method is based on the new theory of ϵ-complexity of individual continuous vector functions and is model-free. We present simulation results confirming the effectiveness of the method.