A note on Bayesian identification of change points in data sequences

DOI10.1016/J.COR.2006.02.018MaRDI QIDQ2384592zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Rosangela H. Loschi, R. H. C. Takahashi, Pilar L. Iglesias, Reinaldo B. Arellano-Valle, F. R. B. Cruz, James MacGregor Smith

Publication date 10 October 2007

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

Full work available at URL http://hdl.handle.net/10533/139006

zbMATH Keywords

Atypical observationsheteroskedasticitystructural changes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Operations research and management science (90B99)

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Cites work

• A Gibbs sampling scheme to the product partition model: an application to change-point problems
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• An analysis of the influence of some prior specifications in the identification of change points via product partition model.
• Bayesian Clustering and Product Partition Models
• Change-Point Detection With Non-Parametric Regression
• Detection and estimation of abrupt changes in the variability of a process
• Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
• Extension to the product partition model: computing the probability of a change
• Fitting multiple change-point models to data
• On the functional estimation of jump-diffusion models.
• Product partition models for change point problems
• Product Partition Models for Normal Means
• Sampling-Based Approaches to Calculating Marginal Densities
• Spectral GMM estimation of continuous-time processes
• The pricing of options and corporate liabilities

Cited in

(4)

• Bayesian value-at-risk with product partition models
• Nonparametric product partition models for multiple change-points analysis
• Biclustering of medical monitoring data using a nonparametric hierarchical Bayesian model
• Full predictivistic modeling of stock market data: application to change point problems

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