A Fast Bayesian Detection of Change Points Long-Memory Processes
نویسندگان
چکیده
منابع مشابه
Bayesian approach to change points detection in time series
Change points detection in time series is an important area of research in statistics, has a long history and has many applications. However, very often change point analysis is only focused on the changes in the mean value of some quantity in a process. In this work we consider time series with discrete point changes which may contain a finite number of changes of probability density functions...
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We describe a Bayesian method for detecting structural changes in a long-range dependent process. In particular, we focus on changes in the long-range dependence parameter, d, and changes in the process level, μ. Markov chain Monte Carlo methods are used to estimate the posterior probability and size of a change at time t, along with other model parameters. A time-dependent Kalman filter approa...
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ژورنال
عنوان ژورنال: Korean Journal of Applied Statistics
سال: 2009
ISSN: 1225-066X
DOI: 10.5351/kjas.2009.22.4.735