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bcp: An R Package for Performing a Bayesian Analysis of Change Point Problems

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  • Chandra Erdman
  • John W. Emerson
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    Abstract

    Barry and Hartigan (1993) propose a Bayesian analysis for change point problems. We provide a brief summary of selected work on change point problems, both preceding and following Barry and Hartigan. We outline Barry and Hartigan's approach and offer a new R package, pkgbcp (Erdman and Emerson 2007), implementing their analysis. We discuss two frequentist alternatives to the Bayesian analysis, the recursive circular binary segmentation algorithm (Olshen and Venkatraman 2004) and the dynamic programming algorithm of (Bai and Perron 2003). We illustrate the application of bcp with economic and microarray data from the literature.

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    Article provided by American Statistical Association in its journal Journal of Statistical Software.

    Volume (Year): 23 ()
    Issue (Month): i03 ()
    Pages:

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    Handle: RePEc:jss:jstsof:23:i03

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    1. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    2. Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2001. "Strucchange: An R package for testing for structural change in linear regression models," Technical Reports 2001,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Loschi, R.H. & Cruz, F.R.B., 2005. "Extension to the product partition model: computing the probability of a change," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 255-268, February.
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    Cited by:
    1. Aijing Zhang & Chi Zhang & Guobin Fu & Bende Wang & Zhenxin Bao & Hongxing Zheng, 2012. "Assessments of Impacts of Climate Change and Human Activities on Runoff with SWAT for the Huifa River Basin, Northeast China," Water Resources Management, Springer, vol. 26(8), pages 2199-2217, June.
    2. Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014. "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, vol. 47(1), pages 41-62, February.

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