Log-likelihood function reference
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I am learning a code that uses CUSUM to detect changes. The code uses log-likelihood function:
logp = stepsize*basesd/variance * (data[k] - mean - stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the positive direction)
logn = -stepsize*basesd/variance * (data[k] - mean + stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the negative direction)
May I know from where i can learn this function whose formula is implemented that way or in a similar manner?
log-likelihood
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
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add a comment |
$begingroup$
I am learning a code that uses CUSUM to detect changes. The code uses log-likelihood function:
logp = stepsize*basesd/variance * (data[k] - mean - stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the positive direction)
logn = -stepsize*basesd/variance * (data[k] - mean + stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the negative direction)
May I know from where i can learn this function whose formula is implemented that way or in a similar manner?
log-likelihood
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
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$begingroup$
What is $CUSUM$?
$endgroup$
– David G. Stork
Dec 21 '18 at 9:59
$begingroup$
CUSUM is used accumulate small changes in local baseline (I'm dealing with electrical signal) due to random noise and not due to persistent change
$endgroup$
– codingnoob
Jan 5 at 1:17
add a comment |
$begingroup$
I am learning a code that uses CUSUM to detect changes. The code uses log-likelihood function:
logp = stepsize*basesd/variance * (data[k] - mean - stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the positive direction)
logn = -stepsize*basesd/variance * (data[k] - mean + stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the negative direction)
May I know from where i can learn this function whose formula is implemented that way or in a similar manner?
log-likelihood
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
$endgroup$
I am learning a code that uses CUSUM to detect changes. The code uses log-likelihood function:
logp = stepsize*basesd/variance * (data[k] - mean - stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the positive direction)
logn = -stepsize*basesd/variance * (data[k] - mean + stepsize*basesd/2.) (instantaneous log-likelihood for current sample assuming local baseline has jumped in the negative direction)
May I know from where i can learn this function whose formula is implemented that way or in a similar manner?
log-likelihood
log-likelihood
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
asked Dec 21 '18 at 9:48
codingnoobcodingnoob
1
1
$begingroup$
What is $CUSUM$?
$endgroup$
– David G. Stork
Dec 21 '18 at 9:59
$begingroup$
CUSUM is used accumulate small changes in local baseline (I'm dealing with electrical signal) due to random noise and not due to persistent change
$endgroup$
– codingnoob
Jan 5 at 1:17
add a comment |
$begingroup$
What is $CUSUM$?
$endgroup$
– David G. Stork
Dec 21 '18 at 9:59
$begingroup$
CUSUM is used accumulate small changes in local baseline (I'm dealing with electrical signal) due to random noise and not due to persistent change
$endgroup$
– codingnoob
Jan 5 at 1:17
$begingroup$
What is $CUSUM$?
$endgroup$
– David G. Stork
Dec 21 '18 at 9:59
$begingroup$
What is $CUSUM$?
$endgroup$
– David G. Stork
Dec 21 '18 at 9:59
$begingroup$
CUSUM is used accumulate small changes in local baseline (I'm dealing with electrical signal) due to random noise and not due to persistent change
$endgroup$
– codingnoob
Jan 5 at 1:17
$begingroup$
CUSUM is used accumulate small changes in local baseline (I'm dealing with electrical signal) due to random noise and not due to persistent change
$endgroup$
– codingnoob
Jan 5 at 1:17
add a comment |
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$begingroup$
What is $CUSUM$?
$endgroup$
– David G. Stork
Dec 21 '18 at 9:59
$begingroup$
CUSUM is used accumulate small changes in local baseline (I'm dealing with electrical signal) due to random noise and not due to persistent change
$endgroup$
– codingnoob
Jan 5 at 1:17