Empirical Bayesian analysis of simultaneous changepoints in multiple data sequences

DOI10.1214/17-AOAS1075MaRDI QIDQ1697390zbMATH OpenOpenAlexWikidataFDO

Authors Zhou Fan, Lester Mackey

Publication date 19 February 2018

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.01280, https://projecteuclid.org/euclid.aoas/1514430283

zbMATH Keywords

Markov chain Monte CarloBayesian analysisempirical Bayeschangepoint detectioncopy number variationstock price volatilitymultiple data sequences

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Empirical decision procedures; empirical Bayes procedures (62C12)

Abstract: Copy number variations in cancer cells and volatility fluctuations in stock prices are commonly manifested as changepoints occurring at the same positions across related data sequences. We introduce a Bayesian modeling framework, BASIC, that employs a changepoint prior to capture the co-occurrence tendency in data of this type. We design efficient algorithms to sample from and maximize over the BASIC changepoint posterior and develop a Monte Carlo expectation-maximization procedure to select prior hyperparameters in an empirical Bayes fashion. We use the resulting BASIC framework to analyze DNA copy number variations in the NCI-60 cancer cell lines and to identify important events that affected the price volatility of S&P 500 stocks from 2000 to 2009.

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