Expectation Maximization method for multivariate change point detection in presence of unknown and changing covariance

Author:

Keshavarz Marziyeh,Huang Biao

Publisher

Elsevier BV

Subject

Computer Science Applications,General Chemical Engineering

Reference35 articles.

1. An application of EM algorithm to change point problem;Bansal;Commun Stat Theory Methods,2008

2. A Bayesian analysis for change point problems;Barry;J Am Stat Assoc,1993

3. Trafford publishing detection and correction of artificial shifts in climate series;Caussinus;J R Stat Soc Ser C (Appl Stat),2004

4. Multiple change-point detection of multivariate mean vectors with the Bayesian approach;Cheon;Comput Stat Data Anal,2010

5. Estimating the current mean of a normal distribution which is subjected to changes in time;Chernoff;Ann Math Stat,1964

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