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On Finite Mixture Modeling of Change-point Processes

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Listed:
  • Xuwen Zhu

    (University of Alabama)

  • Yana Melnykov

    (University of Alabama)

Abstract

Change point estimation in standard process observed over time is an important problem in literature with applications in various fields. We study this problem in a heterogeneous population. A model-based clustering procedure relying on skewed matrix-variate mixture is proposed. It is capable of capturing the heterogeneity pattern and estimating change points from all data groups simultaneously. The appeal of such approach also lies in its flexibility to model the skewness and dependence in data with good interpretability. Two novel algorithms called matrix power mixture with abrupt change model and matrix power mixture with gradual change model are developed. The approaches are illustrated by simulation studies across a variety of settings. The models are then tested on the US crime data with promising results.

Suggested Citation

  • Xuwen Zhu & Yana Melnykov, 2022. "On Finite Mixture Modeling of Change-point Processes," Journal of Classification, Springer;The Classification Society, vol. 39(1), pages 3-22, March.
    • Handle: RePEc:spr:jclass:v:39:y:2022:i:1:d:10.1007_s00357-021-09385-6
    DOI: 10.1007/s00357-021-09385-6
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    References listed on IDEAS

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