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Implied distributions in multiple change point problems
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Aston, John A. D., Peng, Jyh-Ying and Martin, D. E. K. (2012) Implied distributions in multiple change point problems. Statistics and Computing, Vol.22 (No.4). pp. 981-993. doi:10.1007/s11222-011-9268-6 ISSN 0960-3174.
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Official URL: http://dx.doi.org/10.1007/s11222-011-9268-6
Abstract
A method for efficiently calculating exact 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: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
| Library of Congress Subject Headings (LCSH): | Change-point problems | ||||
| Journal or Publication Title: | Statistics and Computing | ||||
| Publisher: | Springer | ||||
| ISSN: | 0960-3174 | ||||
| Official Date: | 30 July 2012 | ||||
| Dates: |
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| Volume: | Vol.22 | ||||
| Number: | No.4 | ||||
| Page Range: | pp. 981-993 | ||||
| DOI: | 10.1007/s11222-011-9268-6 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| Date of first compliant deposit: | 18 December 2015 | ||||
| Date of first compliant Open Access: | 18 December 2015 | ||||
| Funder: | Engineering and Physical Sciences Research Council (EPSRC), Higher Education Funding Council for England (HEFCE), National Science Foundation (U.S.) (NSF) | ||||
| Grant number: | EP/H016856/1 (EPSRC), DMS-0805577 (NSF) |
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Implied distributions in multiple change point problems. (deposited 12 Jul 2011 16:05)
- Implied distributions in multiple change point problems. (deposited 08 Nov 2011 10:03) [Currently Displayed]
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