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https://doi.org/10.1080/00224065.2020.1717398
Title: | On Computing Multiple Change Points for the Gamma Distribution | Authors: | Xun Xiao PIAO CHEN Zhi-sheng Ye Kwok Leung Tsui |
Keywords: | approximate likelihood calibration change point analysis industrial accidents likelihood ratio test time between events |
Issue Date: | 2-Mar-2020 | Publisher: | Taylor & Francis | Citation: | Xun Xiao, PIAO CHEN, Zhi-sheng Ye, Kwok Leung Tsui (2020-03-02). On Computing Multiple Change Points for the Gamma Distribution. Journal of Quality Technology 53 (3) : 267-288. ScholarBank@NUS Repository. https://doi.org/10.1080/00224065.2020.1717398 | Abstract: | This study proposes an efficient approach to detect one or more change points for gamma distribution. We plug a closed-form estimator into the gamma log-likelihood function to obtain a sharp approximation to the maximum of log-likelihood. We further derive a closed form calibration of approximate likelihood which is asymptotically equivalent to the exact log-likelihood. This circumvents iterative optimization procedures to find maximum likelihood estimates which can be a burden in detecting multiple change points. The simulation study shows that the approximation is accurate and the change points can be detected much faster. Two case studies on the time between events arising from industrial accidents are presented and extensively investigated. | Source Title: | Journal of Quality Technology | URI: | https://scholarbank.nus.edu.sg/handle/10635/196009 | ISSN: | 00224065 | DOI: | 10.1080/00224065.2020.1717398 |
Appears in Collections: | Elements Staff Publications |
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10.108000224065.2020.1717398.zip | 3.39 MB | ZIP | OPEN | Post-print | View/Download |
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