Bayesian Loss-based Approach to Change Point Analysis

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

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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
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
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science
Depositing User: Fabrizio Leisen
Date Deposited: 08 Sep 2018 14:42 UTC
Last Modified: 16 Dec 2018 17:23 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/69002 (The current URI for this page, for reference purposes)
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