Change-Point Models: What Are They and Why Do We Need Them?
Author: Eric Ruggieri, Michelle Yu and Rui Qiang
So what is a "change point"? Formally, a change point is a point at
which the statistical properties of a model change. But what does that
actually mean? Suppose that we are trying to fit a linear model to the data
shown in Figure 1a, which was generated by a piecewise function with
added white noise. More specifically, the points were determined by the
Y(1:14) = 4+N(0, 0.04),
Y(15:30) = 6+N(0, 0.04),
where N(0, 0.04) denotes a random sample from a normal distribution
with mean 0 and variance 0.04, ie., random variability around the mean.
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