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.
Bayesian loss-based approach to change point analysis / L.C. Hinoveanu, F. Leisen, C. Villa. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - 129:(2019), pp. 61-78. [10.1016/j.csda.2018.08.008]
Bayesian loss-based approach to change point analysis
C. Villa
2019
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.File | Dimensione | Formato | |
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