Objective Bayesian Analysis for Change Point Problems
Methodology
2018-01-09 v2 Statistics Theory
Applications
Computation
Machine Learning
Statistics Theory
Abstract
In this paper we present a loss-based approach to change point analysis. In particular, we look at the problem 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. We show the performance of the proposed approach on simulated data and real data sets.
Cite
@article{arxiv.1702.05462,
title = {Objective Bayesian Analysis for Change Point Problems},
author = {Laurentiu Hinoveanu and Fabrizio Leisen and Cristiano Villa},
journal= {arXiv preprint arXiv:1702.05462},
year = {2018}
}