Abstract
A Bayesian analysis based on the empirical wavelet coefficients is developed for the standard change-point problem. This analysis is considered first for the piecewise constant Haar wavelet basis, then extended to using smooth wavelet bases. Although developed initially for use in the standard change-point model, the analysis can be applied to the problem of estimating the location of a discontinuity in an otherwise smooth function by considering only the higher level coefficients in the computations, thereby effectively smoothing the function and analyzing the resulting residuals. The procedure is illustrated by an example using simulated data.
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Ogden, R.T., Lynch, J.D. (1999). Bayesian Analysis of Change-Point Models. In: Müller, P., Vidakovic, B. (eds) Bayesian Inference in Wavelet-Based Models. Lecture Notes in Statistics, vol 141. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-0567-8_5
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DOI: https://doi.org/10.1007/978-1-4612-0567-8_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-98885-6
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