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標題: 二階層之動態規劃演算法快速估計改變點位置 於簡單線性迴歸模型
A Two-Stage Dynamic Programming Algorithm to Estimate the Location of Change-Points for Simple Linear Regression Model
作者: 張芝瑄
Chang, Chih-Hsuan
關鍵字: 改變點;Change-points;動態規劃演算法;視窗法;二階層動態規劃演算法;Dynamic programming;Window method;Two-stage dynamic programming
出版社: 統計學研究所
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A fast two-stage dynamic programming (TSDP) algorithm is proposed to estimate the location of multiple change-point for a sequence of data from the simple linear regression model. The TSDP algorithm is divided into two steps. In the first step, we apply the window method for the log-likelihood ratio function to find a subset of candidate change-points, and use the dynamic programming (DP) algorithm on the chosen subset to obtain good initial change-points. In the second step, we apply the DP algorithm again for the change points near the initial chosen change points to find the exact location of change-points. The DP algorithm is time-consuming for a long sequence of data with many change-points, but the TSDP can reduce the computational time. Two real examples including Metabolic pathway data and Stagnant band height data ; as well as, simulation data are investigated for DP and TSDP algorithms. We find that the estimated location of change-points for both DP and TSDP algorithms are the same in real examples, while in simulated data, both algorithms produce comparably similar errors. However, in the comparison of CPU time, the TSDP algorithm is fast and can be up to 72.61 times than DP algorithm. Thus, TSDP algorithm can substantially reduce the computation load in change-points problem.
其他識別: U0005-1507201311184700
Appears in Collections:統計學研究所

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