An algorithm for a new method of change-point analysis in the independent Poisson sequence

• Autorzy: Chihiro Hirotsu , Harukazu Tsuruta
• Języki publikacji: EN

Abstrakty

EN

Step change-point and slope change-point models in the independent Poisson sequence are developed based on accumulated and doubly-accumulated statistics. The method for the step change-point model developed in Section 2 is an alternative to the likelihood ratio test of Worsley (1986) and the algorithm for p-value calculation based on the first-order Markov property is the same as that given there. Different algorithms for the non-null distribution and inference on the change-point itself are, however, newly developed and a Pascal program is given in the Appendix. These methods are extended to the slope change-point model in Section 3. The approach is essentially the same as that of Section 2 but the algorithm is now based on the second-order Markov property and becomes a little more complicated. The Pascal program related to the slope change-point model is supported on the website, URL: https://corec.meisei-u.ac.jp/labs/hirotsu/.

Słowa kluczowe

EN

Convexity hypothesis; Markov property; Monotone hypothesis; Slope change point model; Step change point model

• Wydawca: De Gruyter Open
• Czasopismo: Biometrical Letters
• Rocznik: 2017
• Tom: 54
• Numer: 1
• Strony: 1-24

Daty

wydano

2017-06-27

online

2017-06-13

Twórcy

autor

Chihiro Hirotsu

• 191–8506,

autor

Harukazu Tsuruta

• 173–0015,

Identyfikatory

DOI

10.1515/bile-2017-0001