Implied distributions in multiple change point problems

DOI10.1007/S11222-011-9268-6MaRDI QIDQ693330zbMATH OpenOpenAlexDBLPWikidataFDO

Authors M. C. Fu

Publication date 7 December 2012

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-011-9268-6

zbMATH Keywords

hidden Markov modelswaiting time distributionsfinite Markov chain imbeddingchange point probabilitygeneralised change pointsrun length distributions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• A Bayesian Analysis for Change Point Problems
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Biological Sequence Analysis
• Distribution Theory of Runs: A Markov Chain Approach
• Distributions associated with general runs and patterns in hidden Markov models
• Dynamic linear models with Markov-switching
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Estimation and comparison of multiple change-point models
• Exploring the latent segmentation space for the assessment of multiple change-point models
• Exploring the state sequence space for hidden Markov and semi-Markov chains
• Factor graphs and the sum-product algorithm
• Finite mixture and Markov switching models.
• Hidden Markov Models for Speech Recognition
• Inference in hidden Markov models.
• Product partition models for change point problems
• Runs and scans with applications
• Switching state-space models: likelihood function, filtering and smoothing

Cited in

(7)

• Exact posterior distributions over the segmentation space and model selection for multiple change-point detection problems
• Simultaneous Credible Regions for Multiple Changepoint Locations
• The multiple change-points problem for the spectral distribution
• Quasi-hidden Markov model and its applications in change-point problems
• Quantifying the uncertainty in change points
• Parallel sequential Monte Carlo samplers and estimation of the number of states in a hidden Markov model
• Fast estimation of posterior probabilities in change-point analysis through a constrained hidden Markov model

Describes a project that uses

Uses Software

• R
• Mcmcpack

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