Stochastic approximation Monte Carlo EM for change-point analysis

DOI10.1080/00949655.2016.1192630MaRDI QIDQ5106759zbMATH OpenOpenAlexFDO

Authors Hwa Kyung Lim, Jaejun Lee, Sooyoung Cheon

Publication date 22 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2016.1192630

zbMATH Keywords

change-point problemexpectation-maximizationMarkov chain Monte Carlostochastic approximation Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• A Stochastic Approximation Method
• An application of MCMC methods for the multiple change-points problem.
• Convergence of a stochastic approximation version of the EM algorithm
• Coupling a stochastic approximation version of EM with an MCMC procedure
• Equation of state calculations by fast computing machines
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Improving SAMC using smoothing methods: Theory and applications to Bayesian model selection problems
• Maximum Likelihood Algorithms for Generalized Linear Mixed Models
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Monte Carlo sampling methods using Markov chains and their applications
• Multiple change-point detection of multivariate mean vectors with the Bayesian approach
• On the use of stochastic approximation Monte Carlo for Monte Carlo integration
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Stability of Stochastic Approximation under Verifiable Conditions
• Stochastic approximation and its applications
• Stochastic Approximation in Monte Carlo Computation
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

Cited in

(3)

• An Application of EM Algorithm to a Change-Point Problem
• Coupling a stochastic approximation version of EM with an MCMC procedure
• Improving SAMC using smoothing methods: Theory and applications to Bayesian model selection problems

Describes a project that uses

Uses Software

• changepoint

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