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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.
[preprint.html]['02],
[springer][12/'03].
Also see
[ALT 2000].
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