Bayesian single change point detection in a sequence of multivariate normal observations

DOI10.1080/02331880500315339MaRDI QIDQ5475299zbMATH OpenOpenAlexFDO

Authors

Publication date 16 June 2006

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880500315339

zbMATH Keywords

change pointdefault Bayes factorintrinsic Bayes factornoninformative priorposterior probabilitysimulations

Mathematics Subject Classification ID

Bayesian inference (62F15)

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Cites work

• A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point
• A Bayesian approach to inference about a change-point in a sequence of random variables
• A Bayesian approach to retrospective identification of change-points
• A Shift of the Mean Level in a Sequence of Independent Normal Random Variables: A Bayesian Approach
• Default Bayes factors for generalized linear models.
• Default Bayes Factors for Nonnested Hypothesis Testing
• Detection of changes in precipitation and runoff over eastern Canada and U. S. using a Bayesian approach
• Discriminant Functions When Covariance Matrices are Unequal
• Intrinsic priors for testing exponential means
• Retrospective multivariate Bayesian change-point analysis: A simultaneous single change in the mean of several hydrological sequences
• Testing hypotheses about the power law process under failure truncation using intrinsic Bayes factors
• The Intrinsic Bayes Factor for Model Selection and Prediction
• TWO-SAMPLE BAYESIAN TESTS USING INTRINSIC BAYES FACTORS FOR MULTIVARIATE NORMAL OBSERVATIONS

Cited in

(18)

• Retrospective multivariate Bayesian change-point analysis: A simultaneous single change in the mean of several hydrological sequences
• Bayesian multiple change-points detection in a normal model with heterogeneous variances
• Bayesian multiple changepoints detection for Markov jump processes
• BayesProject: fast computation of a projection direction for multivariate changepoint detection
• Greedy Gaussian segmentation of multivariate time series
• Inference for single and multiple change-points in time series
• scientific article; zbMATH DE number 4018119 (Why is no real title available?)
• Prediction distributions for changing sequences
• scientific article; zbMATH DE number 4161991 (Why is no real title available?)
• scientific article; zbMATH DE number 1064092 (Why is no real title available?)
• Statistical inference of covariance change points in gaussian model
• A change-point problem and inference for segment signals
• An ANOVA-type test for multiple change points
• scientific article; zbMATH DE number 783420 (Why is no real title available?)
• A Bayesian wavelet approach to estimation of a change-point in a nonlinear multivariate time series
• Bayesian Single Changepoint Estimation in a Parameter‐driven Model
• Bayesian change point detection for functional data
• Multiple change-point detection of multivariate mean vectors with the Bayesian approach

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