Bayesian Loss-based Approach to Change Point Analysis

Leisen, Fabrizio, Hinoveanu, Laurentiu, Villa, Cristiano (2019) Bayesian Loss-based Approach to Change Point Analysis. Computational Statistics and Data Analysis, 129 . pp. 61-78. ISSN 0167-9473. (doi:10.1016/j.csda.2018.08.008) (KAR id:69002)

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Official URL: https://doi.org/10.1016/j.csda.2018.08.008

Abstract

A loss-based approach to change point analysis is proposed. In particular, the problem is looked from two perspectives. The first focuses on the definition of a prior when the number of change points is known a priori. The second contribution aims to estimate the number of change points by using a loss-based approach recently introduced in the literature. The latter considers change point estimation as a model selection exercise. The performance of the proposed approach it is shown on simulated data and real data sets.

Item Type:	Article
DOI/Identification number:	10.1016/j.csda.2018.08.008
Uncontrolled keywords:	Change pointDiscrete parameter spaceLoss-based priorModel selection
Subjects:	H Social Sciences > HA Statistics Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics
Institutional Unit:	Schools > School of Engineering, Mathematics and Physics > Mathematical Sciences
Former Institutional Unit:	Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User:	Fabrizio Leisen
Date Deposited:	08 Sep 2018 14:42 UTC
Last Modified:	20 May 2025 11:39 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/69002 (The current URI for this page, for reference purposes)

University of Kent Author Information

Leisen, Fabrizio.

Creator's ORCID:	https://orcid.org/0000-0002-2460-6176
CReDIT Contributor Roles:

Villa, Cristiano.

Creator's ORCID:
CReDIT Contributor Roles:

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