Abstract
This paper investigates the coding of change-points in the information-theoretic Minimum Message Length (MML) framework. Change-point coding regions affect model selection and parameter estimation in problems such as time series segmentation and decision trees. The Minimum Message Length (MML) and Minimum Description Length (MDL78) approaches to change-point problems have been shown to perform well by several authors. In this paper we compare some published MML and MDL78 methods and introduce some new MML approximations called ‘MMLDc’ and ‘MMLDF’. These new approximations are empirically compared with Strict MML (SMML), Fairly Strict MML (FSMML), MML68, the Minimum Expected Kullback-Leibler Distance (MEKLD) loss function and MDL78 on a tractable binomial change-point problem.
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Fitzgibbon, L.J., Dowe, D.L., Allison, L. (2002). Change-Point Estimation Using New Minimum Message Length Approximations. In: Ishizuka, M., Sattar, A. (eds) PRICAI 2002: Trends in Artificial Intelligence. PRICAI 2002. Lecture Notes in Computer Science(), vol 2417. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45683-X_28
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DOI: https://doi.org/10.1007/3-540-45683-X_28
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