Bayesian sieve method for piece-wise smooth regression

Taihe Yi and Zhengming Wang

Statistics & Probability Letters, 2017, vol. 130, issue C, 5-11

Abstract: We study the piece-wise smooth regression from a theoretical Bayesian perspective. Our results indicate that under some mild assumptions, the posterior of the regression model and the change-points locations contracts at optimal nonparametric convergence rate up to a log-factor, and the number of change-points is posterior consistent.

Keywords: Change-point; Piece-wise smooth; Sieve; Posterior contraction rate; Posterior consistency (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.07.005

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