A delay estimation approach to change-point detection

The change-point detection problem is cast into a delay estimation. Using a local piecewise polynomial representation and some elementary algebraic manipulations, we give an explicit characterization of a change-point as a solution of a given polynomial equation. A key feature of this polynomial equation is its coefficients being composed by short time window iterated integrals of the noisy signal. The so designed change-point detector shows good robustness to various type of noises