Forecasting and Estimating Multiple Change-Point Models with an Unknown Number of Change Points
نویسندگان
چکیده
منابع مشابه
Dynamic Frailty and Change Point Models for Recurrent Events Data
Abstract. We present a Bayesian analysis for recurrent events data using a nonhomogeneous mixed Poisson point process with a dynamic subject-specific frailty function and a dynamic baseline intensity func- tion. The dynamic subject-specific frailty employs a dynamic piecewise constant function with a known pre-specified grid and the baseline in- tensity uses an unknown grid for the piecewise ...
متن کاملFitting multiple change-point models to data
Change-point problems arise when di/erent subsequences of a data series follow di/erent statistical distributions – commonly of the same functional form but having di/erent parameters. This paper develops an exact approach for 3nding maximum likelihood estimates of the change points and within-segment parameters when the functional form is within the general exponential family. The algorithm, a...
متن کاملPrior Elicitation in Multiple Change-point Models
This paper discusses Bayesian inference in change-point models. Existing approaches involve placing a (possibly hierarchical) prior over a known number of change-points. We show how two popular priors have some potentially undesirable properties (e.g. allocating excessive prior weight to change-points near the end of the sample) and discuss how these properties relate to imposing a fixed number...
متن کاملEstimating the Change Point of Binary Profiles with a Linear Trend Disturbance (Quality Engineering Conference Paper)
Identification of a real time of a change in a process, when an out-of-control signal is present is significant. This may reduce costs of defective products as well as the time of exploring and fixing the cause of defects. Another popular topic in the Statistical Process Control (SPC) is profile monitoring, where knowing the distribution of one or more quality characteristics may not be appropr...
متن کاملNarrowest-Over-Threshold Detection of Multiple Change-points and Change-point-like Features
We propose a new, generic and flexible methodology for nonparametric function estimation, in which we first estimate the number and locations of any features that may be present in the function, and then estimate the function parametrically between each pair of neighbouring detected features. Examples of features handled by our methodology include change-points in the piecewise-constant signal ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.628561