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Bayesian prediction of the number of change points in the piecewise linear model

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Summary

The problem of predicting the number of change points in a piecewise linear model is studied from a Bayesian viewpoint. For a given a priori joint probability functionf R,C=fRf C/R, whereR is the number of change points andC=C′(R)=(C1,…,CR) is the change-point epoch vector, the marginal posterior probability functionf R.C/Y is obtained, and then used to find predictors forR andC(R).

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  1. Grupo de Estadística, CRICYT, C. Correo 131, 5500, Mendoza, Argentina

    Ricardo Aníbal Leiva

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  1. Ricardo Aníbal Leiva
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Aníbal Leiva, R. Bayesian prediction of the number of change points in the piecewise linear model. J. It. Statist. Soc. 3, 271–289 (1994). https://doi.org/10.1007/BF02589231

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  • DOI: https://doi.org/10.1007/BF02589231

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