Joint random partition models for multivariate change point analysis

DOI10.1214/22-BA1344MaRDI QIDQ7022420zbMATH OpenFDO

Authors José J. Quinlan, Garritt L. Page, Luís M. S. Castro

Publication date 25 February 2025

Published in Bayesian Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/bayesian-analysis/volume-19/issue-1/Joint-Random-Partition-Models-for-Multivariate-Change-Point-Analysis/10.1214/22-BA1344.full

zbMATH Keywords

multivariate time seriesmultiple change point analysiscorrelated random partitions

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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