MAPSlope/FastTrellis Code

This code accompanies the paper ``Slope Estimation in Noisy Piecewise Linear Functions'' (Ingle, Bucklew, Sethares, Varghese) 2015.

Matlab source code can be downloaded as a zip file. It contains the following files:

fasttrellis.m Returns the most likely (MAP optimal) path by dynamically traversing a linearly growing trellis structure.

mapslope.m Performs alternating maximization iterations to automatically select sensible model parameters.

realintfit.m Test script to run our algorithm on the financial interest rate data from Bai-Perron [Bai03].


[Bai03] J. Bai, P. Perron, ``Computation and Analysis of Multiple Structural Change Models,'' J. Appl. Econ., vol. 18, no. 1, pp. 1--22, Jan. 2003.

Last updated Dec 15, 2014