Change-point problems: A Bayesian nonparametric approach

Pietro Muliere; Marco Scarsini

Aplikace matematiky (1985)

  • Volume: 30, Issue: 6, page 397-402
  • ISSN: 0862-7940

Abstract

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A change-point problem is examined from a Bayesian viewpoint, under nonparametric hypotheses. A Ferguson-Dirichlet prior is chosen and the posterior distribution is computed for the change-point and for the unknown distribution functions.

How to cite

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Muliere, Pietro, and Scarsini, Marco. "Change-point problems: A Bayesian nonparametric approach." Aplikace matematiky 30.6 (1985): 397-402. <http://eudml.org/doc/15422>.

@article{Muliere1985,
abstract = {A change-point problem is examined from a Bayesian viewpoint, under nonparametric hypotheses. A Ferguson-Dirichlet prior is chosen and the posterior distribution is computed for the change-point and for the unknown distribution functions.},
author = {Muliere, Pietro, Scarsini, Marco},
journal = {Aplikace matematiky},
keywords = {change-point problem; Ferguson-Dirichlet prior; posterior distribution; Bayes estimate; change-point problem; Ferguson-Dirichlet prior; posterior distribution},
language = {eng},
number = {6},
pages = {397-402},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Change-point problems: A Bayesian nonparametric approach},
url = {http://eudml.org/doc/15422},
volume = {30},
year = {1985},
}

TY - JOUR
AU - Muliere, Pietro
AU - Scarsini, Marco
TI - Change-point problems: A Bayesian nonparametric approach
JO - Aplikace matematiky
PY - 1985
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 30
IS - 6
SP - 397
EP - 402
AB - A change-point problem is examined from a Bayesian viewpoint, under nonparametric hypotheses. A Ferguson-Dirichlet prior is chosen and the posterior distribution is computed for the change-point and for the unknown distribution functions.
LA - eng
KW - change-point problem; Ferguson-Dirichlet prior; posterior distribution; Bayes estimate; change-point problem; Ferguson-Dirichlet prior; posterior distribution
UR - http://eudml.org/doc/15422
ER -

References

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  1. C. E. Antoniak (1974), Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems, Ann. Statist. 2, 1152-1174. Zbl0335.60034MR0365969
  2. L. D. Broemeling (1972), Bayesian procedures for detecting a change in a sequence of random variables, Metron 30, 214-227. Zbl0303.62029
  3. D. M. Cifarelli P. Muliere, and M. Scarsini (1981), Il modello lineare nell'approccio bayesiano nonparametrico, Research report N. 15, Istituto Matematice G. Castelnuovo, Roma. 
  4. G. W. Cobb (1978), 10.1093/biomet/65.2.243, Biometrika 65, 243-251. Zbl0394.62074MR0513930DOI10.1093/biomet/65.2.243
  5. P. Diaconis, D. Freedman (1982), Bayes rules for location problems, in Statistical Decision Theory and Related Topics III, (ed. by S. S. Gupta and J. O. Berger) vol. I, 315- 327, Academic Press, New York. Zbl0582.62028MR0705295
  6. T. S. Ferguson (1973), 10.1214/aos/1176342360, Ann. Statist. 1, 209-230. Zbl0255.62037MR0350949DOI10.1214/aos/1176342360
  7. A. N. Pettit (1981), 10.1093/biomet/68.2.443, Biometrika 68, 443 - 450 MR0626405DOI10.1093/biomet/68.2.443
  8. A. F. M. Smith (1975), 10.1093/biomet/62.2.407, Biometrika 62, 407-416. Zbl0321.62041MR0381115DOI10.1093/biomet/62.2.407
  9. A. F. M. Smith (1977), A Bayesian analysis of some time-varying models, in Recent Developments in Statistics (ed. by J. R. Barra et al.), 257-267, North-Holland, Amsterdam. Zbl0366.62103MR0501550
  10. A. F. M. Smith (1980), 10.1007/BF02888348, Trab. Estadist. 31, 83-98. Zbl0465.62091MR0638874DOI10.1007/BF02888348

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