Biometrical Letters

ISSN:1896-3811

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Volume (54) Number 1 pp. 1-24

Chihiro Hirotsu 1, Harukazu Tsuruta 2

1Collaborative Research Center, Meisei University, 2–1–1, Hodokubo, Hino–city, , Tokyo, Japan
2Tokyo Metropolitan Institute of Gerontology, 35–2Sakae–cho, Itabashi–ku, , Tokyo, Japan

An algorithm for a new method of change-point analysis in the independent Poisson sequence

Summary

Step change-point and slope change-point models in the independent Poisson sequence are developed based on accumulated and doubly-accumulated statistics. The method for the step change-point model developed in Section 2 is an alternative to the likelihood ratio test of Worsley (1986) and the algorithm for p-value calculation based on the first-order Markov property is the same as that given there. Different algorithms for the non-null distribution and inference on the change-point itself are, however, newly developed and a Pascal program is given in the Appendix. These methods are extended to the slope change-point model in Section 3. The approach is essentially the same as that of Section 2 but the algorithm is now based on the second-order Markov property and becomes a little more complicated. The Pascal program related to the slope change-point model is supported on the website, URL: https://corec.meisei-u.ac.jp/labs/hirotsu/.

Keywords: Convexity hypothesis, Markov property, Monotone hypothesis, Slope change point model, Step change point model

DOI: 10.1515/bile-2017-0001

For citation:

MLA Hirotsu, Chihiro, and Harukazu Tsuruta. "An algorithm for a new method of change-point analysis in the independent Poisson sequence." Biometrical Letters 54.1 (2017): 1-24. DOI: 10.1515/bile-2017-0001
APA Hirotsu, C., & Tsuruta, H. (2017). An algorithm for a new method of change-point analysis in the independent Poisson sequence. Biometrical Letters 54(1), 1-24 DOI: 10.1515/bile-2017-0001
ISO 690 HIROTSU, Chihiro, TSURUTA, Harukazu. An algorithm for a new method of change-point analysis in the independent Poisson sequence. Biometrical Letters, 2017, 54.1: 1-24. DOI: 10.1515/bile-2017-0001
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