Bayesian loss-based approach to change point analysis
Publication
, Journal Article
Hinoveanu, LC; Leisen, F; Villa, C
Published in: Computational Statistics and Data Analysis
January 1, 2019
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.
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Published In
Computational Statistics and Data Analysis
DOI
ISSN
0167-9473
Publication Date
January 1, 2019
Volume
129
Start / End Page
61 / 78
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0802 Computation Theory and Mathematics
- 0104 Statistics
Citation
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Hinoveanu, L. C., Leisen, F., & Villa, C. (2019). Bayesian loss-based approach to change point analysis. Computational Statistics and Data Analysis, 129, 61–78. https://doi.org/10.1016/j.csda.2018.08.008
Hinoveanu, L. C., F. Leisen, and C. Villa. “Bayesian loss-based approach to change point analysis.” Computational Statistics and Data Analysis 129 (January 1, 2019): 61–78. https://doi.org/10.1016/j.csda.2018.08.008.
Hinoveanu LC, Leisen F, Villa C. Bayesian loss-based approach to change point analysis. Computational Statistics and Data Analysis. 2019 Jan 1;129:61–78.
Hinoveanu, L. C., et al. “Bayesian loss-based approach to change point analysis.” Computational Statistics and Data Analysis, vol. 129, Jan. 2019, pp. 61–78. Scopus, doi:10.1016/j.csda.2018.08.008.
Hinoveanu LC, Leisen F, Villa C. Bayesian loss-based approach to change point analysis. Computational Statistics and Data Analysis. 2019 Jan 1;129:61–78.
Published In
Computational Statistics and Data Analysis
DOI
ISSN
0167-9473
Publication Date
January 1, 2019
Volume
129
Start / End Page
61 / 78
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0802 Computation Theory and Mathematics
- 0104 Statistics