Aston, John A. D., Peng, Jyh-Ying and Martin, D. E. K. (2008) Implied distributions in multiple change point problems. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2008 (No.26).

Preview

PDF WRAP_Aston_08-26w.pdf - Published Version - Requires a PDF viewer. Download (498Kb)

Request Changes to record.

Abstract

A method for efficiently calculating marginal, conditional and joint distributions
for change points defined by general finite state Hidden Markov Models is proposed. The distributions
are not subject to any approximation or sampling error once parameters of the model
have been estimated. It is shown that, in contrast to sampling methods, very little computation is
needed. The method provides probabilities associated with change points within an interval, as
well as at specific points.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Change-point problems
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Official Date:	2008
Dates:	Date Event 2008 Published
Date of first compliant deposit:	1 August 2016
Volume:	Vol.2008
Number:	No.26
Number of Pages:	31
Institution:	University of Warwick
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access

Request changes or add full text files to a record

Available Versions of this Item

• Implied distributions in multiple change point problems. (deposited 12 Jul 2011 16:05) [Currently Displayed]
  • Implied distributions in multiple change point problems. (deposited 08 Nov 2011 10:03)

Repository staff actions (login required)

View Item

Downloads