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An Application of EM Algorithm to a Change-Point Problem |
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| Authors: | Naveen K Bansal Hong Du G G Hamedani |
| Institution: | 1. Department of Mathematics, Statistics, and Computer Science , Marquette University , Milwaukee, Wisconsin, USA naveen.bansal@marquette.edu;3. Department of Mathematical Sciences , University of Wisconsin-Milwaukee , Milwaukee, Wisconsin, USA;4. Department of Mathematics, Statistics, and Computer Science , Marquette University , Milwaukee, Wisconsin, USA |
| Abstract: | We consider the problem of change-point in a classical framework while assuming a probability distribution for the change-point. An EM algorithm is proposed to estimate the distribution of the change-point. A change-point model for multiple profiles is also proposed, and EM algorithm is presented to estimate the model. Two examples of Illinois traffic data and Dow Jones Industrial Averages are used to demonstrate the proposed methods. |
| Keywords: | Bayesian approach EM algorithm Exponential families Maximum likelihood |