A Bayesian significance test of change for correlated observations

DOI10.7151/DMPS.1169MaRDI QIDQ5262803zbMATH OpenOpenAlexFDO

Authors 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

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)

Recommendations

• Two-sided tests for change in level for correlated data
• A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation
• scientific article; zbMATH DE number 854964
• Tests for parameter changes at unknown times in linear regression models
• A Bayesian significance test of change in the presence of a single outlier

Cited in

(5)

• A Bayesian analysis of a change in the parameters of autoregressive time series
• A Bayesian detection of structural changes in autoregressive time series models
• A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation
• A Bayesian significance test of change in the presence of a single outlier
• Two-sided tests for change in level for correlated data

This page was built for publication: A Bayesian significance test of change for correlated observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5262803)