Dirichlet process hidden Markov multiple change-point model
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Abstract: This paper proposes a new Bayesian multiple change-point model which is based on the hidden Markov approach. The Dirichlet process hidden Markov model does not require the specification of the number of change-points a priori. Hence our model is robust to model specification in contrast to the fully parametric Bayesian model. We propose a general Markov chain Monte Carlo algorithm which only needs to sample the states around change-points. Simulations for a normal mean-shift model with known and unknown variance demonstrate advantages of our approach. Two applications, namely the coal-mining disaster data and the real United States Gross Domestic Product growth, are provided. We detect a single change-point for both the disaster data and US GDP growth. All the change-point locations and posterior inferences of the two applications are in line with existing methods.
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Cited in
(17)- Bayesian loss-based approach to change point analysis
- The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes.
- Bayesian multiple changepoint detection for stochastic models in continuous time
- Bayesian nonparametric change point detection for multivariate time series with missing observations
- A change-point approach for the identification of financial extreme regimes
- Regression models for change point data in extremes
- Semiparametric multivariate and multiple change-point modeling
- Estimation algorithm for system with non-Gaussian multiplicative/additive noises based on variational Bayesian inference
- Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation
- Bayesian quickest detection of credit card fraud
- A Dirichlet process model for change-point detection with multivariate bioclimatic data
- Bayesian multiple changepoint detection with missing data and its application to the magnitude-frequency distributions
- Latent Dirichlet allocation and hidden Markov models to identify public perception of sustainability in social media data
- Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring
- Bayesian multiple change-points detection in autocorrelated binary process with application to COVID-19 infection pattern
- Efficient and exact Bayesian inference for Dirichlet process hidden Markov multiple change-point models
- Topic change point detection using a mixed Bayesian model
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