Bayesian multiple changepoint detection with missing data and its application to the magnitude‐frequency distributions

Shaochuan Lu

Environmetrics, 2023, vol. 34, issue 4

Abstract: The detection of abrupt changes in an evolving pattern of time series in the presence of missing data still poses a challenge to real applications. We formulate the multiple changepoint problem into a latent Markov model on a countably infinite state space. For efficiency‐enhancing, we propose a partially collapsed Gibbs sampler for the inference of the joint posterior of the number of changepoints and their locations. Variants of Viterbi algorithms are suggested for obtaining the MAP estimates of random changepoints in the presence of missing data, which provides better performances in these varying‐dimensional problems. The method is generally applicable for multiple changepoint detection under a variety of missing data mechanism. The method is applied to a case study of the magnitude‐frequency distribution of the 2010 Darfield M7.1 earthquake sequence in New Zealand. We find out some unusual features of the seismic b‐value in the Darfield earthquake sequence. It is noted that two changepoints are detected and in contrast to the background seismic b‐value, relatively low b‐values in the early aftershock propagation period are identified. We suggest that this might be a forewarning of potentially devastatingly strong aftershocks. The advance in the method of b‐value changepoint detection will enhance our understanding of earthquake occurrence and potentially lead to improved risk forecasting.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/env.2775

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:envmet:v:34:y:2023:i:4:n:e2775

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1180-4009

Access Statistics for this article

More articles in Environmetrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().