Multipartition model for multiple change point identification
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Abstract: Among the main goals in multiple change point problems are the estimation of the number and positions of the change points, as well as the regime structure in the clusters induced by those changes. The product partition model (PPM) is a widely used approach for the detection of multiple change points. The traditional PPM assumes that change points split the set of time points in random clusters that define a partition of the time axis. It is then typically assumed that sampling model parameter values within each of these blocks are identical. Because changes in different parameters of the observational model may occur at different times, the PPM thus fails to identify the parameters that experienced those changes. A similar problem may occur when detecting changes in multivariate time series. To solve this important limitation, we introduce a multipartition model to detect multiple change points occurring in several parameters at possibly different times. The proposed model assumes that the changes experienced by each parameter generate a different random partition of the time axis, which facilitates identifying which parameters have changed and when they do so. We discuss a partially collapsed Gibbs sampler scheme to implement posterior simulation under the proposed model. We apply the proposed model to identify multiple change points in Normal means and variances and evaluate the performance of the proposed model through Monte Carlo simulations and data illustrations. Its performance is compared with some previously proposed approaches for change point problems. These studies show that the proposed model is competitive and enriches the analysis of change point problems.
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Cites work
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- Changepoint Detection in the Presence of Outliers
- Efficient Bayesian analysis of multiple changepoint models with dependence across segments
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- Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
- Extension to the product partition model: computing the probability of a change
- Extensions of some classical methods in change point analysis
- scientific article; zbMATH DE number 1485432 (Why is no real title available?)
- scientific article; zbMATH DE number 6303356 (Why is no real title available?)
- Identifying volatility clusters using the PPM: a sensitivity analysis
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- Partially Collapsed Gibbs Samplers
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- Product partition models for change point problems
- Product partition models with correlated parameters
- Seamless R and C++ integration with Rcpp
- Semiparametric multivariate and multiple change-point modeling
Cited in
(9)- Product partition models for change point problems
- Fitting multiple change-point models to data
- Bayesian robustness in change point analysis
- Detecting multiple random changepoints in Bayesian piecewise growth mixture models
- Multiple change-point analysis for linear regression models
- BAYESIAN IDENTIFICATION OF MULTIPLE CHANGE POINTS IN POISSON DATA
- Product partition latent variable model for multiple change-point detection in multivariate data
- Change surfaces for expressive multidimensional changepoints and counterfactual prediction
- Model-based clustering of time-dependent observations with common structural changes
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