Bayesian multiple changepoints detection for Markov jump processes

DOI10.1007/S00180-020-00956-6MaRDI QIDQ2203433zbMATH OpenOpenAlexFDO

Authors Shaochuan Lu

Publication date 6 October 2020

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-020-00956-6

zbMATH Keywords

Markov jump processesBayesian multiple changepoint modelscontinuous-time forward-filtering backward-samplingcontinuous-time Viterbi algorithmmultiple Markov jump processes

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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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?)
• A Modified Bayes Information Criterion with Applications to the Analysis of Comparative Genomic Hybridization Data
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• An Exact Gibbs Sampler for the Markov-Modulated Poisson Process
• Bayesian Methods for Hidden Markov Models
• Bayesian Retrospective Multiple-Changepoint Identification
• Continuous-time Markov chains in a random environment, with applications to ion channel modelling
• Detecting change-points in Markov chains
• Efficient Bayesian estimation of the multivariate double chain Markov model
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Estimation and comparison of multiple change-point models
• Exact posterior distributions and model selection criteria for multiple change-point detection problems
• Product partition models for change point problems
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

Cited in

(4)

• A Bayesian simulation approach to inference on a multi-state latent factor intensity model
• Bayesian multiple changepoint detection for stochastic models in continuous time
• Bayesian multiple change-points detection in a normal model with heterogeneous variances
• Efficient Bayesian estimation of the multivariate double chain Markov model

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