Product partition models for change point problems

DOI10.1214/AOS/1176348521MaRDI QIDQ1192968zbMATH OpenOpenAlexFDO

Authors Daniel Barry, J. A. Hartigan

Publication date 27 September 1992

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

Full work available at URL https://doi.org/10.1214/aos/1176348521

zbMATH Keywords

change point problemsestimating meansmean square errorsproduct partition methodrandom partition of the dataselection of prior product modelstrue partition

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and prediction (62M20) Data smoothing in stochastic control theory (93E14)

Review text

Product partition models assume that observations in different components of a random partition of the data are independent. These models apply with special computational simplicity to change point problems, where the partitions divide the sequence of observations into components within which different regimes hold. It is shown that the observations can determine approximately the true partition when appropriate selection of prior product models is made. \textit{Y.-C. Yao's} method [Stat. Probab. Lett. 6, 181-189 (1988; Zbl 0642.62016)] of selecting change points is compared with the product partition method. More extensive simulation studies have shown that the mean square errors in estimating means at each point are higher for the \textit{G. Schwarz} [Ann. Statist. 6, 461-464 (1978; Zbl 0379.62005)] selection method than appropriate product partition methods, even though the product partition method overestimates the number of groups.

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