Robust semi-parametric multiple change-points detection

This paper is dedicated to define two new multiple change-points detectors in the case of an unknown number of changes in the mean of a signal corrupted by additive noise. Both these methods are based on the Least-Absolute Value (LAV) criterion. Such criterion is well known for improving the robustness of the procedure, especially in the case of outliers or heavy-tailed distributions. The first method is inspired by model selection theory and leads to a data-driven estimator. The second one is an algorithm based on total variation type penalty. These strategies are numerically studied on Monte-Carlo experiments.