A Bayesian approach to retrospective identification of change-points

DOI10.1016/0304-4076(82)90048-3zbMath0492.62077OpenAlexW2056452440MaRDI QIDQ1168033

N. B. Booth, Adrian F. M. Smith

Publication date: 1982

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90048-3

zbMATH Keywords

ARMA serieschanging mean valuechanging regression coefficient vectorsGaussian time seriesretrospective identification of change-points

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Foundations and philosophical topics in statistics (62A01) Inference from stochastic processes (62M99)

Related Items

Bayesian criteria for discriminating among regression models with one possible change point ⋮ A bayesian analysis of trend determination in economic time series ⋮ Bayesian analysis of autoregressive time series with change points ⋮ Bayesian detection of structural changes ⋮ Change-point estimation in a multinomial sequence and homogeneity of literary style ⋮ Bayesian single change point detection in a sequence of multivariate normal observations ⋮ Change-point problems: bibliography and review ⋮ Greedy Gaussian segmentation of multivariate time series ⋮ Bayesian Time Series Analysis of Structural Changes in Level and Trend ⋮ A Bayesian analysis of some threshold switching models ⋮ On detection of change points using mean vectors

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