An exact approach to Bayesian sequential change point detection

DOI10.1016/j.csda.2015.11.010zbMath1468.62168OpenAlexW2194308309MaRDI QIDQ1659360

Eric Ruggieri, Marcus Antonellis

Publication date: 15 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2015.11.010

zbMATH Keywords

dynamic programmingpiecewise regressionmultiple change pointexact Bayesian inferenceglobal temperature anomalies

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Inference from stochastic processes (62M99)

Related Items

A pruned recursive solution to the multiple change point problem ⋮ Changepoint Detection in the Presence of Outliers ⋮ Bayesian nonparametric change point detection for multivariate time series with missing observations

Uses Software

• strucchange
• wbs
• cpm

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
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• On-Line Inference for Hidden Markov Models via Particle Filters
• A Bayesian Analysis for Change Point Problems
• A Cluster Analysis Method for Grouping Means in the Analysis of Variance
• Hierarchical Bayesian Analysis of Changepoint Problems
• Bayesian Retrospective Multiple-Changepoint Identification
• Numerical Bayesian Methods Applied to Signal Processing
• On-Line Inference for Multiple Changepoint Problems
• Estimation and Forecasting in Models with Multiple Breaks
• CONTINUOUS INSPECTION SCHEMES
• An application of MCMC methods for the multiple change-points problem.