IDEAS home Printed from https://ideas.repec.org/r/bla/jorssc/v41y1992i2p389-405.html
   My bibliography  Save this item

Hierarchical Bayesian Analysis of Changepoint Problems

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Mahani, Alireza S. & Sharabiani, Mansour T.A., 2015. "SIMD parallel MCMC sampling with applications for big-data Bayesian analytics," Computational Statistics & Data Analysis, Elsevier, vol. 88(C), pages 75-99.
  2. DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018. "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-23, June.
  3. Ľluboš Pástor & Robert F. Stambaugh, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, vol. 56(4), pages 1207-1239, August.
  4. Fitzpatrick, Matthew, 2014. "Geometric ergodicity of the Gibbs sampler for the Poisson change-point model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 55-61.
  5. Rosalia Condorelli, 2013. "A Bayesian analysis of suicide data," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(2), pages 1143-1161, February.
  6. Galeano, Pedro, 2007. "The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.
  7. Griffin, J.E. & Steel, M.F.J., 2011. "Stick-breaking autoregressive processes," Journal of Econometrics, Elsevier, vol. 162(2), pages 383-396, June.
  8. Smith, Simon C., 2017. "Equity premium estimates from economic fundamentals under structural breaks," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 49-61.
  9. Eric Ruggieri, 2018. "A pruned recursive solution to the multiple change point problem," Computational Statistics, Springer, vol. 33(2), pages 1017-1045, June.
  10. Gary Koop & Simon M. Potter, 2009. "Prior Elicitation In Multiple Change-Point Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 751-772, August.
  11. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  12. Chao Du & Chu-Lan Michael Kao & S. C. Kou, 2016. "Stepwise Signal Extraction via Marginal Likelihood," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(513), pages 314-330, March.
  13. Cathy W. S. Chen & Jack C. Lee, 1995. "Bayesian Inference Of Threshold Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 483-492, September.
  14. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Forecasting Time Series Subject to Multiple Structural Breaks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 1057-1084.
  15. Farhana Sadia & Sarah Boyd & Jonathan M Keith, 2018. "Bayesian change-point modeling with segmented ARMA model," PLOS ONE, Public Library of Science, vol. 13(12), pages 1-23, December.
  16. Cheon, Sooyoung & Kim, Jaehee, 2010. "Multiple change-point detection of multivariate mean vectors with the Bayesian approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 406-415, February.
  17. Arnaud Monseur & Bradley P. Carlin & Bruno Boulanger & Andreea Seferian & Laurent Servais & Chris Freitag & Leen Thielemans, 2022. "Leveraging Natural History Data in One- and Two-Arm Hierarchical Bayesian Studies of Rare Disease Progression," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 14(2), pages 237-258, July.
  18. Gordon, Stephen & Bélanger, Gilles, 1996. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
  19. Gebrenegus Ghilagaber & Parfait Munezero, 2020. "Bayesian change-point modelling of the effects of 3-points-for-a-win rule in football," Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(2), pages 248-264, January.
  20. Bartolucci, Al & Bae, Sejong & Singh, Karan & Griffith, H. Randall, 2009. "An examination of Bayesian statistical approaches to modeling change in cognitive decline in an Alzheimer's disease population," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(3), pages 561-571.
  21. Kirstine Wodschow & Birgitte Hansen & Jörg Schullehner & Annette Kjær Ersbøll, 2018. "Stability of Major Geogenic Cations in Drinking Water—An Issue of Public Health Importance: A Danish Study, 1980–2017," IJERPH, MDPI, vol. 15(6), pages 1-16, June.
  22. Neil Shephard & Michael K Pitt, 1995. "Likelihood analysis of non-Gaussian parameter driven models," Economics Papers 15 & 108., Economics Group, Nuffield College, University of Oxford.
  23. Eric F. Lock & Nidhi Kohli & Maitreyee Bose, 2018. "Detecting Multiple Random Changepoints in Bayesian Piecewise Growth Mixture Models," Psychometrika, Springer;The Psychometric Society, vol. 83(3), pages 733-750, September.
  24. Ghosh, Pulak & Huang, Lan & Yu, Binbing & Tiwari, Ram C., 2009. "Semiparametric Bayesian approaches to joinpoint regression for population-based cancer survival data," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4073-4082, October.
  25. Owyang, Michael T. & Piger, Jeremy & Wall, Howard J., 2008. "A state-level analysis of the Great Moderation," Regional Science and Urban Economics, Elsevier, vol. 38(6), pages 578-589, November.
  26. Pacifico, Antonio, 2020. "Bayesian Fuzzy Clustering with Robust Weighted Distance for Multiple ARIMA and Multivariate Time-Series," MPRA Paper 104379, University Library of Munich, Germany.
  27. Chiara Lattanzi & Manuele Leonelli, 2019. "A changepoint approach for the identification of financial extreme regimes," Papers 1902.09205, arXiv.org.
  28. Francisca Galindo Garre & Aeilko H. Zwinderman & Ronald B. Geskus & Yvo W. J. Sijpkens, 2008. "A joint latent class changepoint model to improve the prediction of time to graft failure," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 171(1), pages 299-308, January.
  29. Michael W. Robbins & Colin M. Gallagher & Robert B. Lund, 2016. "A General Regression Changepoint Test for Time Series Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(514), pages 670-683, April.
  30. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points," Discussion Papers in Economics 04/31, Division of Economics, School of Business, University of Leicester.
  31. Jong Hee Park, 2010. "Structural Change in U.S. Presidents' Use of Force," American Journal of Political Science, John Wiley & Sons, vol. 54(3), pages 766-782, July.
  32. Yuan, Tao & Wu, Xinying & Bae, Suk Joo & Zhu, Xiaoyan, 2019. "Reliability assessment of a continuous-state fuel cell stack system with multiple degrading components," Reliability Engineering and System Safety, Elsevier, vol. 189(C), pages 157-164.
  33. Michael L. Polemis & Thanasis Stengos, 2019. "Does competition prevent industrial pollution? Evidence from a panel threshold model," Business Strategy and the Environment, Wiley Blackwell, vol. 28(1), pages 98-110, January.
  34. A R Brentnall & M J Crowder & D J Hand, 2010. "Likelihood-ratio changepoint features for consumer-behaviour models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 462-472, March.
  35. Rotondi, R., 2002. "On the influence of the proposal distributions on a reversible jump MCMC algorithm applied to the detection of multiple change-points," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 633-653, September.
  36. Lindeløv, Jonas Kristoffer, 2020. "mcp: An R Package for Regression With Multiple Change Points," OSF Preprints fzqxv, Center for Open Science.
  37. Tian, Guo-Liang & Ng, Kai Wang & Li, Kai-Can & Tan, Ming, 2009. "Non-iterative sampling-based Bayesian methods for identifying changepoints in the sequence of cases of Haemolytic uraemic syndrome," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3314-3323, July.
  38. Rui Qiang & Eric Ruggieri, 2023. "Autocorrelation and Parameter Estimation in a Bayesian Change Point Model," Mathematics, MDPI, vol. 11(5), pages 1-22, February.
  39. Quintana, Fernando A. & Liu, Jun S. & Pino, Guido E. del, 1999. "Monte Carlo EM with importance reweighting and its applications in random effects models," Computational Statistics & Data Analysis, Elsevier, vol. 29(4), pages 429-444, February.
  40. Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos, 2023. "Linking Frequentist and Bayesian Change-Point Methods," MPRA Paper 119486, University Library of Munich, Germany.
  41. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  42. Wang, Liqun & Lee, Chel Hee, 2014. "Discretization-based direct random sample generation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 1001-1010.
  43. Saroja Kumar Singh, 2022. "Change point problem for Markovian arrival queueing models: Bayes factor approach," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(6), pages 2847-2854, December.
  44. D Briand & A V Huzurbazar, 2008. "Bayesian reliability applications of a combined lifecycle failure distribution," Journal of Risk and Reliability, , vol. 222(4), pages 713-720, December.
  45. Engemann, Kristie M. & Owyang, Michael T., 2010. "Whatever Happened To The Business Cycle? A Bayesian Analysis Of Jobless Recoveries," Macroeconomic Dynamics, Cambridge University Press, vol. 14(5), pages 709-726, November.
  46. Erengul Dodd & Jonathan J. Forster & Jakub Bijak & Peter W. F. Smith, 2018. "Smoothing mortality data: the English Life Tables, 2010–2012," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(3), pages 717-735, June.
  47. R. Rotondi & E. Garavaglia, 2002. "Statistical Analysis of the Completeness of a Seismic Catalogue," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 25(3), pages 245-258, March.
  48. Simon C. Smith, 2020. "Equity premium prediction and structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 412-429, July.
  49. Tian, Guo-Liang & Ng, Kai Wang & Tan, Ming, 2008. "EM-type algorithms for computing restricted MLEs in multivariate normal distributions and multivariate t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4768-4778, June.
  50. Daniel McNeish & Denis Dumas & Dario Torre & Neil Rice, 2022. "Modelling time to maximum competency in medical student progress tests," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 2007-2034, October.
  51. Kenji Hatakenaka & Kosuke Oya, 2021. "Bayesian inference for time varying partial adjustment model with application to intraday price discovery," Discussion Papers in Economics and Business 21-19, Osaka University, Graduate School of Economics.
  52. Li Zhaoyuan & Tian Maozai, 2017. "Detecting Change-Point via Saddlepoint Approximations," Journal of Systems Science and Information, De Gruyter, vol. 5(1), pages 48-73, February.
  53. Cathy W. S. Chen & Mike K. P. So, 2003. "Subset threshold autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 49-66.
  54. Ruggieri, Eric & Antonellis, Marcus, 2016. "An exact approach to Bayesian sequential change point detection," Computational Statistics & Data Analysis, Elsevier, vol. 97(C), pages 71-86.
  55. Matúš Maciak & Ivan Mizera, 2016. "Regularization techniques in joinpoint regression," Statistical Papers, Springer, vol. 57(4), pages 939-955, December.
  56. Ko, Stanley I. M. & Chong, Terence T. L. & Ghosh, Pulak, 2014. "Dirichlet Process Hidden Markov Multiple Change-point Model," MPRA Paper 57871, University Library of Munich, Germany.
  57. Fernando Ferraz do Nascimento & Wyara Vanesa Moura e Silva, 2017. "A Bayesian model for multiple change point to extremes, with application to environmental and financial data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(13), pages 2410-2426, October.
  58. Hall, Charles B. & Ying, Jun & Kuo, Lynn & Lipton, Richard B., 2003. "Bayesian and profile likelihood change point methods for modeling cognitive function over time," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 91-109, February.
  59. Gianluca Mastrantonio & Giovanna Jona Lasinio & Alessio Pollice & Lorenzo Teodonio & Giulia Capotorti, 2022. "A Dirichlet process model for change‐point detection with multivariate bioclimatic data," Environmetrics, John Wiley & Sons, Ltd., vol. 33(1), February.
  60. Yulia Marchenko, 2015. "Bayesian analysis in Stata," United Kingdom Stata Users' Group Meetings 2015 14, Stata Users Group.
  61. Ospina-Forero, Luis & Granados, Oscar M., 2023. "A network analysis of the structure and dynamics of FX derivatives markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.