| Autor: |
Fengkai Yang |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Symmetry, Vol 15, Iss 2, p 447 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2073-8994 |
| DOI: |
10.3390/sym15020447 |
| Popis: |
The usual mean change-point detecting method based on normal linear regression is not robust to heavy-tailed data with potential outlying points. We propose a robust change-point estimation procedure based on a quantile regression model with asymmetric Laplace error distribution and develop a non-iterative sampling algorithm from a Bayesian perspective. The algorithm can generate independently and identically distributed samples approximately from the posterior distribution of the position of the change-point, which can be used for statistical inferences straightforwardly. The procedure combines the robustness of quantile regression and the computational efficiency of the non-iterative sampling algorithm. A simulation study is conducted to illustrate the performance of the procedure with satisfying findings, and finally, real data is analyzed to show the usefulness of the algorithm by comparison with the usual change-point detection method based on normal regression. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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