Bayesian loss-based approach to change point analysis

Laurentiu C. Hinoveanu, Fabrizio Leisen and Cristiano Villa

Computational Statistics & Data Analysis, 2019, vol. 129, issue C, 61-78

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.

Keywords: Change point; Discrete parameter space; Loss-based prior; Model selection (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:129:y:2019:i:c:p:61-78

DOI: 10.1016/j.csda.2018.08.008

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