Bayesian time series analysis of structural changes in level and trend
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Publication:2864675
DOI10.1080/03610926.2011.642918zbMATH Open1462.62111OpenAlexW1988418558MaRDI QIDQ2864675FDOQ2864675
Authors: Heung Wong, Jinshan Liu, Jian Yan Long, Wai-cheung Ip 
Publication date: 26 November 2013
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.642918
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Cites Work
- Hierarchical Bayesian Analysis of Changepoint Problems
- Fitting multiple change-point models to data
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- Convergence of a stochastic approximation version of the EM algorithm
- Multiple change-point detection of multivariate mean vectors with the Bayesian approach
- The problem of the Nile: Conditional solution to a changepoint problem
- Inference about the change-point in a sequence of random variables
- A simple cumulative sum type statistic for the change-point problem with zero-one observations
- A Bayesian approach to inference about a change-point in a sequence of random variables
- Bayesian Retrospective Multiple-Changepoint Identification
- Tests for a change-point
- The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling
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- Estimating the transition between two intersecting straight lines
- Bayesian off-line detection of multiple change-points corrupted by multiplicative noise: Application to SAR image edge detection
- Finding multiple abrupt change points
- Straight Lines with a Change-Point: A Bayesian Analysis of Some Renal Transplant Data
- Comparability of Segmented Line Regression Models
- Extension to the product partition model: computing the probability of a change
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- Bayesian inferences related to shifting sequences and two-phase regression
- Detection of changes in precipitation and runoff over eastern Canada and U. S. using a Bayesian approach
Cited In (10)
- Bayesian Analysis of Time Series
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- A first order autoregressive process with a change point: a Bayesian approach based on model selection
- Retrospective multivariate Bayesian change-point analysis: A simultaneous single change in the mean of several hydrological sequences
- Detecting and modeling changes in a time series of proportions
- A Bayesian multiple structural change regression model with autocorrelated errors
- A Bayesian model for multiple change point to extremes, with application to environmental and financial data
- Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model
- A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
- Investigation of changes in characteristics of hydrological time series by Bayesian methods
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