Confidence distributions for change-points and regime shifts

DOI10.1016/j.jspi.2017.09.009zbMath1383.62074OpenAlexW2763122206MaRDI QIDQ1698991

Céline Cunen, Nils Lid Hjort, Gudmund Horn Hermansen

Publication date: 16 February 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/58543

zbMATH Keywords

regime shiftsconfidence distributionschange-pointshomogeneity testinglog-likelihood profilingmonitoring bridges

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Parametric hypothesis testing (62F03) Parametric inference (62F99) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Modified information criterion for detecting changes in skew slash distribution ⋮ Change point detection in linear failure rate distribution under random censorship ⋮ Confidence distributions and related themes ⋮ Confidence distributions for skew normal change-point model based on modified information criterion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Is Bayes posterior just quick and dirty confidence?
• Graph-based change-point detection
• Confidence, Likelihood, Probability
• Model Selection and Model Averaging
• Bayesian Nonparametrics
• Change-point estimation in a multinomial sequence and homogeneity of literary style
• Confidence regions and tests for a change-point in a sequence of exponential family random variables
• Some "Optimal" Methods to Detect Structural Shift or Outliers in Regression
• The problem of the Nile: Conditional solution to a changepoint problem
• Multiple changepoint fitting via quasilikelihood, with application to DNA sequence segmentation
• Estimating and Testing Linear Models with Multiple Structural Changes
• Confidence Sets in Change-Point Problems
• Statistical Models and Methods for Discontinuous Phenomena
• Tests For Constancy Of Model Parameters Over Time
• Hierarchical Bayesian Analysis of Changepoint Problems
• Confidence Distribution, the Frequentist Distribution Estimator of a Parameter: A Review
• Exact Meta-Analysis Approach for Discrete Data and its Application to 2 × 2 Tables With Rare Events
• Combining information across diverse sources: The II‐CC‐FF paradigm
• Frequentist Accuracy of Bayesian Estimates
• Inference about the change-point in a sequence of random variables
• Inference about the change-point in a sequence of binomial variables
• Multiscale Change Point Inference

This page was built for publication: Confidence distributions for change-points and regime shifts