Bayesian multiple changepoint detection for stochastic models in continuous time

DOI10.1214/20-BA1218zbMath1480.62078OpenAlexW3036264078MaRDI QIDQ2057329

Shaochuan Lu

Publication date: 6 December 2021

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/20-ba1218

zbMATH Keywords

uniformizationMarkov jump processesPoisson processesearthquakeinfinite hidden Markov modelscontinuous-time forward-filtering backward-sampling algorithms

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Markov processes: estimation; hidden Markov models (62M05) Seismology (including tsunami modeling), earthquakes (86A15) Applications of statistics to physics (62P35) Jump processes on general state spaces (60J76)

Related Items (2)

Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation ⋮ Bayesian nonparametric change point detection for multivariate time series with missing observations

Uses Software

• wbs

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