A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point

Ulrich Menzefricke

Journal of the Royal Statistical Society Series C, 1981, vol. 30, issue 2, 141-146

Abstract: This paper analyses a sequence of independent normal random variables in which the precision (inverse of the variance) may have been subjected to one change at an unknown point in time. Posterior distributions are found both for the unknown point in time at which the change occurred and for the magnitude of the change. Two examples are given.

Date: 1981
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