An accurate estimation algorithm for structural change points of multi-dimensional stochastic models

Abstract

In order to improve the estimation accuracy of structural change points of multi-dimensional stochastic model, the accurate estimation algorithm of structural change points of multi-dimensional stochastic model is studied. A multi-dimensional stochastic Graphical Modeling model based on multivariate normal hypothesis is constructed, and the relationship between the Graphical Gaussian model and the linear regression model is determined. The parameters of the multi-dimensional stochastic model are estimated by using the parameter estimation algorithm of the multi-dimensional stochastic model containing intermediate variables. According to the parameter estimation results of the multi-dimensional stochastic model, the structural change point estimation results of the multi-dimensional stochastic model are obtained by using the accurate estimation algorithm of the structural change point based on the MLE identification local drift time. The experimental results show that the proposed algorithm has higher estimation accuracy of structural change points than the control algorithms, which shows that it can effectively estimate the structural change points of multi-dimensional random models and has higher practicability.