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Bayesian loss-based approach to change point analysis.

Lookup NU author(s): Dr Cristiano VillaORCiD

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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 is shown on simulated data and real data sets.

Publication metadata

Author(s): Hinoveanu L, Leisen F, Villa C

Publication type: Article

Publication status: Published

Journal: Computational Statistics and Data Analysis

Year: 2019

Volume: 129

Pages: 61-78

Print publication date: 01/01/2019

Online publication date: 23/08/2018

Acceptance date: 10/08/2018

ISSN (print): 0167-9473

ISSN (electronic): 1872-7352

Publisher: Elsevier

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

DOI: 10.1016/j.csda.2018.08.008

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