Efficient Bayesian analysis of multiple changepoint models with dependence across segments

DOI10.1007/s11222-009-9163-6zbMath1254.62029arXiv0910.3099OpenAlexW2056262371MaRDI QIDQ692967

M. C. Fu

Publication date: 6 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.3099

zbMATH Keywords

waveletssegmentationsequential Monte Carloparticle filterschangepoint detectionwell-log

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Inference from stochastic processes (62M99)

Related Items

Multipartition model for multiple change point identification ⋮ Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation ⋮ A consistent on‐line Bayesian procedure for detecting change points ⋮ Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise ⋮ Bayesian P-splines and advanced computing in R for a changepoint analysis on spatio-temporal point processes ⋮ Simultaneous Credible Regions for Multiple Changepoint Locations ⋮ Detecting multiple random changepoints in Bayesian piecewise growth mixture models

Uses Software

• GMRFLib

Cites Work

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