Bayesian multiple changepoints detection for Markov jump processes

DOI10.1007/s00180-020-00956-6zbMath1505.62262OpenAlexW3002391184MaRDI QIDQ2203433

Shaochuan Lu

Publication date: 6 October 2020

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-00956-6

zbMATH Keywords

Markov jump processesBayesian multiple changepoint modelscontinuous-time forward-filtering backward-samplingcontinuous-time Viterbi algorithmmultiple Markov jump processes

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Bayesian multiple changepoint detection for stochastic models in continuous time

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