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Bayesian analysis of a change-point in exponential families with applications

✍ Scribed by Chung-Bow Lee

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 696 KB
Volume: 27
Category: Article
ISSN: 0167-9473
DOI: 10.1016/s0167-9473(98)00009-7

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✦ Synopsis

A Bayesian analysis is used to detect a change-point in a sequence of independent random variables from exponential family distributions. The conjugate priors for the exponential families are considered in the analysis. The marginal posterior distribution of the change-point j is derived. Since some hyperparameters are involved in the conjugate priors, the Type II maximum likelihood (ML-II) approach (cf. Berger, 1995) will be used to estimate these hyperparameters in applications. The method is simple and is easily applied to the Nile problem, Illinois traffic data, British coal-mining disasters, accident data and stock-market prices. (~) 1998 Elsevier Science B.V. All rights reserved.

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