An exact approach to Bayesian sequential change point detection
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- 作者：Eric Ruggieri ; eruggier@holycross.edu" class="auth_mail" title="E-mail the corresponding author ; Marcus Antonellis mjanto15@g.holycross.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Dynamic programming ; Exact Bayesian inference ; Global temperature anomalies ; Multiple change point ; Piecewise regression
- 刊名：Computational Statistics & Data Analysis
- 出版年：2016
- 出版时间：May 2016
- 年：2016
- 卷：97
- 期：Complete
- 页码：71-86
- 全文大小：1451 K
文摘
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Algorithm quickly updates its inference in linear time with each new observation.
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Derives uncertainty bounds on the number and location of change points in a data set.
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Explores potential detection criteria associated with posterior distribution.
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Simulation studies show high detection rate, low false positive rate.
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Analysis of two real data sets illustrate wide range of potential applications.