Discussion of Automatic Change-Point Detection in Time Series via Deep Learning by Jie Li, Paul Fearnhead, Piotr Fryzlewicz and Tengyao Wang

Abstract

We congratulate the authors for providing this stimulating work which uses deep neural networks for detecting change-points. We shall comment on three aspects of the paper, (i) the standardisation procedure, (ii) distributional assumptions of the training and testing samples, and (iii) potentially more efficient use of the training samples.