Simultaneous Credible Regions for Multiple Changepoint Locations

DOI10.1080/10618600.2018.1513366MaRDI QIDQ6278607arXivFDO

Authors Tobias Siems, Marc Hellmuth, Volkmar Liebscher

Publication date 13 October 2016

Published in arXiv

Full work available at URL https://doi.org/10.1080/10618600.2018.1513366

Mathematics Subject Classification ID

Statistics (62-XX)

arXiv classification

math.STstat.TH

Abstract: Within a Bayesian retrospective framework, we present a way of examining the distribution of cps through a novel set estimator. For a given level, $alpha$, we aim at smallest sets that cover all cps with a probability of at least $1-alpha$. These so-called smallest simultaneous credible regions, computed for certain values of $alpha$, provide parsimonious representations of the possible cp locations. In addition, combining them for a range of different $alpha$'s enables very informative yet condensed visualisations. Therewith we allow for the evaluation of model choices and the analysis of cp data to an unprecedented degree. This approach exhibits superior sensitivity, specificity and interpretability in comparison with highest density regions, marginal inclusion probabilities and confidence intervals inferred by stepR. Whilst their direct construction is usually intractable, asymptotically correct solutions can be derived from posterior samples. This leads to a novel NP-complete problem. Through reformulations into an Integer Linear Program we show empirically that a fast greedy heuristic computes virtually exact solutions.

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