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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2015.2
- 수록면
- 261 - 269 (9page)
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Nowadays the application of change point analysis has been indispensable in a wide range of areas such as quality control, nance, environmetrics, medicine, geographics, and engineering. Identi cation of times where process changes would help minimize the consequences that might happen afterwards. The main objective of this paper isto compare the change-point detection capabilities of Bayesian estimate and maxi-mum likelihood estimate. We applied Bayesian and maximum likelihood techniques toformulate change points having a step change and multiple number of change pointsin a Poisson rate. After a signal from c-chart and Poisson cumulative sum control charts have been detected, Monte Carlo simulation has been applied to investigate the performance of Bayesian and maximum likelihood estimation. Change point detection capacities of Bayesian and maximum likelihood estimation techniques have been inves-tigated through simulation. It has been found that the Bayesian estimates outperforms standard control charts well specially when there exists a small to medium size of step change. Moreover, it performs convincingly well in comparison with the maximum like-lihood estimator and remains good choice specially in con dence interval statistical inference.
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참고문헌 (13)
참고문헌 신청
1. [학술지(정기간행물)] - Barry, D. / 1993 / A Bayesian analysis for change point problem / Journal of the American Statistical Association 88 : 309 ~ 319
2. [학술지(정기간행물)] - Chen, C. W. S. / 1995 / Bayesian inference of threshold autoregressive model / Journal of Time Series Analysis 16 : 483 ~ 492
3. [인터넷자원] - Erdman, C. / / bcp: A package for performing a Bayesian analysis of change point problems. R package version 1.8.4
4. [학술지(정기간행물)] - Hartigan, J. A. / 1990 / Communication in statistics theory and method / Journal of Statistical Computation and Simulation 19 : 2745 ~ 2756
5. [학술지(정기간행물)] - Hawkins, D. M. / 1977 / Testing a sequence of observations for a shift in location / Journal of the American Statistical Association 72 : 180 ~ 186
2. [학술지(정기간행물)] - Chen, C. W. S. / 1995 / Bayesian inference of threshold autoregressive model / Journal of Time Series Analysis 16 : 483 ~ 492
3. [인터넷자원] - Erdman, C. / / bcp: A package for performing a Bayesian analysis of change point problems. R package version 1.8.4
4. [학술지(정기간행물)] - Hartigan, J. A. / 1990 / Communication in statistics theory and method / Journal of Statistical Computation and Simulation 19 : 2745 ~ 2756
5. [학술지(정기간행물)] - Hawkins, D. M. / 1977 / Testing a sequence of observations for a shift in location / Journal of the American Statistical Association 72 : 180 ~ 186
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UCI(KEPA) : I410-ECN-0101-2018-041-001376158