Open Access
Translator Disclaimer
2014 Robust Mean Change-Point Detecting through Laplace Linear Regression Using EM Algorithm
Fengkai Yang
J. Appl. Math. 2014: 1-9 (2014). DOI: 10.1155/2014/856350

Abstract

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.

Citation

Download Citation

Fengkai Yang. "Robust Mean Change-Point Detecting through Laplace Linear Regression Using EM Algorithm." J. Appl. Math. 2014 1 - 9, 2014. https://doi.org/10.1155/2014/856350

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07131928
MathSciNet: MR3278353
Digital Object Identifier: 10.1155/2014/856350

Rights: Copyright © 2014 Hindawi

JOURNAL ARTICLE
9 PAGES


SHARE
Vol.2014 • 2014
Back to Top