Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10139296 | Computational Statistics & Data Analysis | 2019 | 37 Pages |
Abstract
A loss-based approach to change point analysis is proposed. In particular, the problem is looked from two perspectives. The first focuses on the definition of a prior when the number of change points is known a priori. The second contribution aims to estimate the number of change points by using a loss-based approach recently introduced in the literature. The latter considers change point estimation as a model selection exercise. The performance of the proposed approach is shown on simulated data and real data sets.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Laurentiu C. Hinoveanu, Fabrizio Leisen, Cristiano Villa,