Expectation Maximization method for multivariate change point detection in presence of unknown and changing covariance - Keshavarz, Marziyeh; Huang, Biao (Computers & chemical engineering, 2014)
Keywords: Algorithms; Applied sciences; Bayesian inference; Change point detection; Chemical engineering; Computer science; control theory; systems; Computer simulation; Control system analysis; Control theory. Systems; Covariance; Data processing; Exact sciences and technology; Expectation Maximization; Mathematics; Maximization; Monitoring; Optimization; Parametric inference; Probability and statistics; Sciences and techniques of general use; Statistics; Bayesian inference; Change point detection; Expectation Maximization; Bayes estimation; Data analysis; Event detection; Time series; Change point; Experimental study; Modeling; Optimization; Data acquisition system; Covariance; regime switching model; EM algorithm; System monitoring