MAXIMUM-LIKELIHOOD-ESTIMATION IN THE MULTI-PATH CHANGE-POINT PROBLEM

Maximum likelihood estimators of the parameters of the distributions b efore and after the change and the distribution of the time to change in the multi-path change-point problem are derived and shown to be con sistent. The maximization of the likelihood can be carried out by usin g either the EM algorithm or results from mixture distributions. In fa ct, these two approaches give equivalent algorithms. Simulations to ev aluate the performance of the maximum likelihood estimators under prac tical conditions, and two examples using data on highway fatalities in the United States, and on the health effects of urea formaldehyde foa m insulation, are also provided.