Abstract
A method for efficiently calculating exact marginal, conditional and joint distributions for change points defined by general finite state Hidden Markov Models is proposed. The distributions are not subject to any approximation or sampling error once parameters of the model have been estimated. It is shown that, in contrast to sampling methods, very little computation is needed. The method provides probabilities associated with change points within an interval, as well as at specific points.
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Aston, J.A.D., Peng, J.Y. & Martin, D.E.K. Implied distributions in multiple change point problems. Stat Comput 22, 981–993 (2012). https://doi.org/10.1007/s11222-011-9268-6
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DOI: https://doi.org/10.1007/s11222-011-9268-6