An on-line change-point detection method

We are presenting a change-point detection method based on a direct online estimation of the signalpsilas singularity points. Using a piecewise local polynomial representation of the signal, we cast the problem into a delay estimation. A change-point instant is characterized as a solution of a polynomial equation, the coefficients of which are 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.