Detecting change-points in Markov chains

DOI10.1016/j.csda.2006.11.040zbMath1445.62214OpenAlexW1972061167MaRDI QIDQ1020703

Alan M. Polansky

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.11.040

zbMATH Keywords

likelihoodbootstrap\(p\)-valueAICBICdependence

Mathematics Subject Classification ID

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

Related Items (8)

Randentropy: A Software to Measure Inequality in Random Systems ⋮ Bayesian multiple changepoints detection for Markov jump processes ⋮ Change point dynamics for financial data: an indexed Markov chain approach ⋮ A Copula-based Markov Reward Approach to the Credit Spread in the European Union ⋮ Online change detection of Markov chains with unknown post-change transition probabilities ⋮ Bayesian multiple changepoint detection for stochastic models in continuous time ⋮ Multiscale spectral analysis for detecting short and long range change points in time series ⋮ Malware Family Discovery Using Reversible Jump MCMC Sampling of Regimes

Uses Software

• bootlib

Cites Work

• Estimating the dimension of a model
• Bootstrap methods: another look at the jackknife
• Optimal estimation of the parameters of Markovian sequences that change their characteristics at random time instants
• Optimal estimation of the time of change in the characteristics of a Markov chain
• Statistical Inference about Markov Chains
• Statistical Methods in Markov Chains
• Integer-parameter estimation in discrete distributions
• Tests of Homogeneity for Correlated Samples
• Testing homogeneity over time of a parameter of a markov sequence
• A new look at the statistical model identification
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