Product Partition Models for Change Point Problems
نویسندگان
چکیده
منابع مشابه
A Gibbs sampling scheme to the product partition model: an application to change-point problems
This paper extends previous results for the classical product partition model (PPM) applied to the identification of multiple change points in the means and variances of time series. Prior distributions for these two parameters and for the probability p that a change takes place at a particular period of time are considered and a new scheme based on Gibbs sampling to estimate the posterior rele...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1992
ISSN: 0090-5364
DOI: 10.1214/aos/1176348521