Consortium for Mathematics and its Applications

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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 equations

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.
©2020 by COMAP, Inc.
The UMAP Journal 41.1
20 pages

Mathematics Topics:

  • Statistics

Application Areas:

  • Environmental

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