Quantifying the uncertainty in change points

DOI10.1111/j.1467-9892.2011.00777.xzbMath1281.62174MaRDI QIDQ5397955

Christopher F. H. Nam, Adam M. Johansen, John A. D. Aston

Publication date: 25 February 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10.1111/j.1467-9892.2011.00777.x

zbMATH Keywords

finite Markov chain imbedding; change points; hidden Markov models; segmentation; sequential Monte Carlo; functional magnetic resonance imaging

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P10: Applications of statistics to biology and medical sciences; meta analysis

62F15: Bayesian inference

65C05: Monte Carlo methods

62M02: Markov processes: hypothesis testing

Related Items

Bootstrap confidence intervals for multiple change points based on moving sum procedures, Multiple Testing of Local Extrema for Detection of Change Points, Parallel sequential Monte Carlo samplers and estimation of the number of states in a hidden Markov model, Evaluating stationarity via change-point alternatives with applications to fMRI data, Distribution of statistics of hidden state sequences through the sum-product algorithm, Simultaneous Credible Regions for Multiple Changepoint Locations

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