The Choice of the Cost Parameter in the PELT Method for Determining the Change Points for Time Series Parameters in the Hidden Channel Model

In this paper, the problem of choosing the cost parameter in the Pruned Exact Linear Time (PELT) method for determining the change points for the parameters of time series is considered. It is shown that it is reasonable to use a variant of the method with L2 metric to solve a special problem. It is demonstrated that the algorithm quality significantly depends on the parameter’s choice for the segment cost function and the cost parameter. The problems and possibilities of a hidden channel realization using the PELT method for determining change points for parameters of a time series are discussed.