| Title:
|
Change-point problems: A Bayesian nonparametric approach (English) |
| Author:
|
Muliere, Pietro |
| Author:
|
Scarsini, Marco |
| Language:
|
English |
| Journal:
|
Aplikace matematiky |
| ISSN:
|
0373-6725 |
| Volume:
|
30 |
| Issue:
|
6 |
| Year:
|
1985 |
| Pages:
|
397-402 |
| Summary lang:
|
English |
| Summary lang:
|
Czech |
| Summary lang:
|
Russian |
| . |
| Category:
|
math |
| . |
| Summary:
|
A change-point problem is examined from a Bayesian viewpoint, under nonparametric hypotheses. A Ferguson-Dirichlet prior is chosen and the posterior distribution is computed for the change-point and for the unknown distribution functions. (English) |
| Keyword:
|
change-point problem |
| Keyword:
|
Ferguson-Dirichlet prior |
| Keyword:
|
posterior distribution |
| Keyword:
|
Bayes estimate |
| MSC:
|
62F15 |
| MSC:
|
62G05 |
| MSC:
|
62G10 |
| idZBL:
|
Zbl 0581.62038 |
| idMR:
|
MR0813528 |
| DOI:
|
10.21136/AM.1985.104169 |
| . |
| Date available:
|
2008-05-20T18:28:38Z |
| Last updated:
|
2020-07-28 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/104169 |
| . |
| Reference:
|
[1] C. E. Antoniak (1974): Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems.Ann. Statist. 2, 1152-1174. MR 0365969 |
| Reference:
|
[2] L. D. Broemeling (1972): Bayesian procedures for detecting a change in a sequence of random variables.Metron 30, 214-227. |
| Reference:
|
[3] D. M. Cifarelli P. Muliere, and M. Scarsini (1981): Il modello lineare nell'approccio bayesiano nonparametrico.Research report N. 15, Istituto Matematice G. Castelnuovo, Roma. |
| Reference:
|
[4] G. W. Cobb (1978): The problem of Nile: conditional solution to a change-point problem.Biometrika 65, 243-251. MR 0513930, 10.1093/biomet/65.2.243 |
| Reference:
|
[5] P. Diaconis, D. Freedman (1982) : Bayes rules for location problems.in Statistical Decision Theory and Related Topics III, (ed. by S. S. Gupta and J. O. Berger) vol. I, 315- 327, Academic Press, New York. MR 0705295 |
| Reference:
|
[6] T. S. Ferguson (1973): A Bayesian analysis of some nonparametric problems.Ann. Statist. 1, 209-230. MR 0350949, 10.1214/aos/1176342360 |
| Reference:
|
[7] A. N. Pettit (1981): Posterior probabilities for a change-point using ranks.Biometrika 68, 443 - 450 MR 0626405, 10.1093/biomet/68.2.443 |
| Reference:
|
[8] A. F. M. Smith (1975): A Bayesian approach to inference about a change-point in a sequence of random variables.Biometrika 62, 407-416. MR 0381115, 10.1093/biomet/62.2.407 |
| Reference:
|
[9] A. F. M. Smith (1977): A Bayesian analysis of some time-varying models.in Recent Developments in Statistics (ed. by J. R. Barra et al.), 257-267, North-Holland, Amsterdam. MR 0501550 |
| Reference:
|
[10] A. F. M. Smith (1980): Change-point problems: approaches and applications.Trab. Estadist. 31, 83-98. MR 0638874, 10.1007/BF02888348 |
| . |
