Bayesian multiple changepoint detection for stochastic models in continuous time

DOI10.1214/20-BA1218MaRDI QIDQ2057329zbMATH OpenOpenAlexFDO

Authors Shaochuan Lu

Publication date 6 December 2021

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/20-ba1218

zbMATH Keywords

earthquakePoisson processesMarkov jump processesuniformizationinfinite hidden Markov modelscontinuous-time forward-filtering backward-sampling algorithms

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to physics (62P35) Seismology (including tsunami modeling), earthquakes (86A15) Jump processes on general state spaces (60J76)

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Cites work

• scientific article; zbMATH DE number 6378055 (Why is no real title available?)
• scientific article; zbMATH DE number 3082073 (Why is no real title available?)
• An application of MCMC methods for the multiple change-points problem.
• Bayesian Methods for Hidden Markov Models
• Bayesian Retrospective Multiple-Changepoint Identification
• Bayesian multiple changepoints detection for Markov jump processes
• Detecting change-points in Markov chains
• Dirichlet process hidden Markov multiple change-point model
• Dynamic detection of change points in long time series
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Estimation and comparison of multiple change-point models
• Multiscale change point inference. With discussion and authors' reply
• On a nonparametric change point detection model in Markovian regimes
• On-Line Inference for Multiple Changepoint Problems
• Optimal detection of changepoints with a linear computational cost
• Product partition models for change point problems
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Simulation of nonhomogeneous poisson processes by thinning
• The Collapsed Gibbs Sampler in Bayesian Computations with Applications to a Gene Regulation Problem
• The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson process
• Uniformization for nonhomogeneous Markov chains
• Wild binary segmentation for multiple change-point detection

Cited in

(7)

• Bayesian multiple change-points detection in a normal model with heterogeneous variances
• Bayesian multiple changepoints detection for Markov jump processes
• Bayesian multiple changepoint detection with missing data and its application to the magnitude-frequency distributions
• Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation
• Detecting multiple change-points in the mean of Gaussian process by model selection
• Exact Bayesian inference for off-line change-point detection in tree-structured graphical models
• Bayesian nonparametric change point detection for multivariate time series with missing observations

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• wbs

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