# A Bayesian significance test of change for correlated observations

Discussiones Mathematicae Probability and Statistics (2014)

- Volume: 34, Issue: 1-2, page 51-62
- ISSN: 1509-9423

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topAbdeldjalil Slama. "A Bayesian significance test of change for correlated observations." Discussiones Mathematicae Probability and Statistics 34.1-2 (2014): 51-62. <http://eudml.org/doc/270900>.

@article{AbdeldjalilSlama2014,

abstract = {This paper presents a Bayesian significance test for a change in mean when observations are not independent. Using a noninformative prior, a unconditional test based on the highest posterior density credible set is determined. From a Gibbs sampler simulation study the effect of correlation on the performance of the Bayesian significance test derived under the assumption of no correlation is examined. This paper is a generalization of earlier studies by KIM (1991) to not independent observations.},

author = {Abdeldjalil Slama},

journal = {Discussiones Mathematicae Probability and Statistics},

keywords = {autoregressive model; change point; HPD region sets; p-value; Gibbs sampler; -value},

language = {eng},

number = {1-2},

pages = {51-62},

title = {A Bayesian significance test of change for correlated observations},

url = {http://eudml.org/doc/270900},

volume = {34},

year = {2014},

}

TY - JOUR

AU - Abdeldjalil Slama

TI - A Bayesian significance test of change for correlated observations

JO - Discussiones Mathematicae Probability and Statistics

PY - 2014

VL - 34

IS - 1-2

SP - 51

EP - 62

AB - This paper presents a Bayesian significance test for a change in mean when observations are not independent. Using a noninformative prior, a unconditional test based on the highest posterior density credible set is determined. From a Gibbs sampler simulation study the effect of correlation on the performance of the Bayesian significance test derived under the assumption of no correlation is examined. This paper is a generalization of earlier studies by KIM (1991) to not independent observations.

LA - eng

KW - autoregressive model; change point; HPD region sets; p-value; Gibbs sampler; -value

UR - http://eudml.org/doc/270900

ER -

## References

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