An analysis of the influence of some prior specifications in the identification of change points via product partition model.

DOI10.1016/S0167-9473(01)00095-0zbMath1101.62317OpenAlexW2040199318MaRDI QIDQ1603678

Rosangela H. Loschi, Frederico R. B. Cruz

Publication date: 15 July 2002

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(01)00095-0

zbMATH Keywords

Gibbs samplingStudent-distributionRelevanceCohesionsYao's algorithm

Mathematics Subject Classification ID

Related Items (11)

A note on Bayesian identification of change points in data sequences ⋮ Full predictivistic modeling of stock market data: application to change point problems ⋮ Nonparametric product partition models for multiple change-points analysis ⋮ Product partition latent variable model for multiple change-point detection in multivariate data ⋮ Extension to the product partition model: computing the probability of a change ⋮ A predictive view of Bayesian clustering ⋮ Text segmentation by product partition models and dynamic programming ⋮ APPLYING THE PRODUCT PARTITION MODEL TO THE IDENTIFICATION OF MULTIPLE CHANGE POINTS ⋮ Bayesian nonparametric change point detection for multivariate time series with missing observations ⋮ Bayesian robustness in change point analysis ⋮ Identifying volatility clusters using the PPM: a sensitivity analysis

Cites Work

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• Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
• Product partition models for change point problems
• A Gibbs sampling scheme to the product partition model: an application to change-point problems
• Product Partition Models for Normal Means
• A Bayesian Analysis for Change Point Problems
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time

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