Empirical Bayesian analysis of simultaneous changepoints in multiple data sequences

DOI10.1214/17-AOAS1075zbMath1383.62205arXiv1508.01280OpenAlexW2964309439WikidataQ123016807 ScholiaQ123016807MaRDI QIDQ1697390

Zhou Fan, Lester Mackey

Publication date: 19 February 2018

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.01280

zbMATH Keywords

Bayesian analysisempirical BayesMarkov chain Monte Carlochangepoint detectionstock price volatilitycopy number variationmultiple data sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

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