An algorithm for a new method of change-point analysis in the independent Poisson sequence

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Summary

Step change-point and slope change-point models in the independent Poisson sequence are developed based on accumulated and doubly-accumulated statistics. The method for the step change-point model developed in Section 2 is an alternative to the likelihood ratio test of Worsley (1986) and the algorithm for p-value calculation based on the first-order Markov property is the same as that given there. Different algorithms for the non-null distribution and inference on the change-point itself are, however, newly developed and a Pascal program is given in the Appendix. These methods are extended to the slope change-point model in Section 3. The approach is essentially the same as that of Section 2 but the algorithm is now based on the second-order Markov property and becomes a little more complicated. The Pascal program related to the slope change-point model is supported on the website, URL: https://corec.meisei-u.ac.jp/labs/hirotsu/.

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