Multiple change-point detection of multivariate mean vectors with the Bayesian approach

DOI10.1016/J.CSDA.2009.09.003MaRDI QIDQ962271zbMATHOpenAlexFDO

Authors Sooyoung Cheon, Jae Hee Kim

Publication date 6 April 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2009.09.003

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15)

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Cites work

• scientific article; zbMATH DE number 1485432 (Why is no real title available?)
• A Bayesian Analysis for Change Point Problems
• A Bayesian approach to inference about a change-point in a sequence of random variables
• Annealing stochastic approximation Monte Carlo algorithm for neural network training
• Bayesian single change point detection in a sequence of multivariate normal observations
• Detecting change-points in multidimensional stochastic processes
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• Extension to the product partition model: computing the probability of a change
• Finding multiple abrupt change points
• Fitting multiple change-point models to data
• Hierarchical Bayesian Analysis of Changepoint Problems
• Inference about the change-point in a sequence of random variables
• Product Partition Models for Normal Means
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Stochastic Approximation in Monte Carlo Computation

Cited in

(23)

• Multipartition model for multiple change point identification
• An ANOVA-type test for multiple change points
• Bayesian time series analysis of structural changes in level and trend
• Bayesian single change point detection in a sequence of multivariate normal observations
• Bivariate change point detection: Joint detection of changes in expectation and variance
• Empirical Bayesian analysis of simultaneous changepoints in multiple data sequences
• Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search
• A Bayesian multiple structural change regression model with autocorrelated errors
• Classification in segmented regression problems
• Bayesian multiple change-points detection in a normal model with heterogeneous variances
• Bayesian multiple structural change-points estimation in time series models with genetic algorithm
• Detecting multiple change-points in the mean of Gaussian process by model selection
• Stochastic approximation Monte Carlo EM for change-point analysis
• scientific article; zbMATH DE number 4161991 (Why is no real title available?)
• Greedy Gaussian segmentation of multivariate time series
• Detection of multiple change-points in multivariate data
• A Bayesian structural-change analysis via the stochastic approximation Monte Carlo and Gibbs sampler
• BayesProject: fast computation of a projection direction for multivariate changepoint detection
• Asymptotic distribution of the jump change-point estimator
• Bayesian off-line detection of multiple change-points corrupted by multiplicative noise: Application to SAR image edge detection
• Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo
• Bayesian multiple changepoints detection for Markov jump processes
• Bayesian detection of abnormal segments in multiple time series

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