Robust mean change-point detecting through Laplace linear regression using EM algorithm

DOI10.1155/2014/856350MaRDI QIDQ2336787zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Fengkai Yang

Publication date 19 November 2019

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/856350

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05)

Review text

Summary: We proposed a robust mean change-point estimation algorithm in linear regression with the assumption that the errors follow the Laplace distribution. By representing the Laplace distribution as an appropriate scale mixture of normal distribution, we developed the expectation maximization (EM) algorithm to estimate the position of mean change-point. We investigated the performance of the algorithm through different simulations, finding that our methods is robust to the distributions of errors and is effective to estimate the position of mean change-point. Finally, we applied our method to the classical Holbert data and detected a change-point.

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Cited in

(3)

• Robust algorithms for multiphase regression models
• Robust change point detection method via adaptive LAD-Lasso
• Detecting change-points for shifts in mean and variance using fuzzy classification maximum likelihood change-point algorithms

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