Bayesian detection of structural changes |
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| Authors: | Nobuhisa Kashiwagi |
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| Institution: | (1) The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-ku, 106 Tokyo, Japan |
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| Abstract: | A Bayesian solution is given to the problem of making inferences about an unknown number of structural changes in a sequence of observations. Inferences are based on the posterior distribution of the number of change points and on the posterior probabilities of possible change points. Detailed analyses are given for binomial data and some regression problems, and numerical illustrations are provided. In addition, an approximation procedure to compute the posterior probabilities is presented. |
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| Keywords: | Bayesian inference change point predictive log likelihood Lindisfarne scribes problem regression |
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