A Gibbs sampling scheme to the product partition model: an application to change-point problems

DOI10.1016/S0305-0548(01)00111-3MaRDI QIDQ1869917zbMATH OpenOpenAlexFDO

Authors Rosangela H. Loschi, Pilar L. Iglesias, Reinaldo B. Arellano-Valle, F. R. B. Cruz

Publication date 28 April 2003

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0305-0548(01)00111-3

zbMATH Keywords

change pointsrelevanceStudent-\(t\) distributionproduct partition modelYao's cohesions

Mathematics Subject Classification ID

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

Recommendations

• APPLYING THE PRODUCT PARTITION MODEL TO THE IDENTIFICATION OF MULTIPLE CHANGE POINTS
• Extension to the product partition model: computing the probability of a change
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• An analysis of the influence of some prior specifications in the identification of change points via product partition model.

Cites work

• scientific article; zbMATH DE number 1081478 (Why is no real title available?)
• scientific article; zbMATH DE number 872117 (Why is no real title available?)
• A Bayesian Analysis for Change Point Problems
• A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point
• A Bayesian approach to inference about a change-point in a sequence of random variables
• Bayesian Retrospective Multiple-Changepoint Identification
• Bayesian analysis of a three-component hierarchical design model
• Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
• Fitting multiple change-point models to data
• On some characterizations of the \(t\)-distribution
• Product Partition Models for Normal Means
• Product partition models for change point problems
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

Cited in

(18)

• Bayesian value-at-risk with product partition models
• Bayesian clustering for row effects models
• Identifying volatility clusters using the PPM: a sensitivity analysis
• Bayesian Retrospective Multiple-Changepoint Identification
• Semiparametric multivariate and multiple change-point modeling
• A predictive view of Bayesian clustering
• Full predictivistic modeling of stock market data: application to change point problems
• APPLYING THE PRODUCT PARTITION MODEL TO THE IDENTIFICATION OF MULTIPLE CHANGE POINTS
• An analysis of the influence of some prior specifications in the identification of change points via product partition model.
• Nonparametric product partition models for multiple change-points analysis
• On a nonparametric change point detection model in Markovian regimes
• Extension to the product partition model: computing the probability of a change
• BAYESIAN IDENTIFICATION OF MULTIPLE CHANGE POINTS IN POISSON DATA
• A note on Bayesian identification of change points in data sequences
• Bayesian nonparametric change point detection for multivariate time series with missing observations
• Estimating the grid of time-points for the piecewise exponential model
• Product partition models for change point problems
• Bayesian robustness in change point analysis

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