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. ISSN 0960-3174

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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 > Statistics
Library of Congress Subject Headings (LCSH):	Change-point problems
Journal or Publication Title:	Statistics and Computing
Publisher:	Springer
ISSN:	0960-3174
Date:	30 July 2012
Volume:	Vol.22
Number:	No.4
Page Range:	pp. 981-993
Identification Number:	10.1007/s11222-011-9268-6
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
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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URI:	http://wrap.warwick.ac.uk/id/eprint/39099

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