Abstract
Maximum likelihood estimators of the parameters of the distributions before and after the change and the distribution of the time to change in the multi-path change-point problem are derived and shown to be consistent. The maximization of the likelihood can be carried out by using either the EM algorithm or results from mixture distributions. In fact, these two approaches give equivalent algorithms. Simulations to evaluate the performance of the maximum likelihood estimators under practical conditions, and two examples using data on highway fatalities in the United States, and on the health effects of urea formaldehyde foam insulation, are also provided.
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This work was supported in part by the Natural Science and Engineering Council of Canada, and the Fonds pour la Formation de chercheurs et l'aide à la Recherche Gouvernment du Québec.
Lawrence Joseph is also a member of the Department of Epidemiology and Biostatistics of McGill University.
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Joseph, L., Wolfson, D.B. Maximum likelihood estimation in the multi-path change-point problem. Ann Inst Stat Math 45, 511–530 (1993). https://doi.org/10.1007/BF00773352
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DOI: https://doi.org/10.1007/BF00773352