A Bayesian significance test of change for correlated observations

DOI10.7151/DMPS.1169zbMATH Open1326.62194OpenAlexW2008865023MaRDI QIDQ5262803FDOQ5262803

Abdeldjalil Slama

Publication date: 16 July 2015

Published in: Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b3bb58380860bd0b9f7d6b9d1a6a341ef01f2a68

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zbMATH Keywords

change pointGibbs sampler\(p\)-valueautoregressive modelHPD region sets

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (3)

• A Bayesian analysis of a change in the parameters of autoregressive time series
• A Bayesian detection of structural changes in autoregressive time series models
• Two-sided tests for change in level for correlated data

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