PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS
نویسندگان
چکیده
منابع مشابه
Prior Elicitation in Multiple Change-point Models
This paper discusses Bayesian inference in change-point models. Existing approaches involve placing a (possibly hierarchical) prior over a known number of change-points. We show how two popular priors have some potentially undesirable properties (e.g. allocating excessive prior weight to change-points near the end of the sample) and discuss how these properties relate to imposing a fixed number...
متن کاملFitting multiple change-point models to data
Change-point problems arise when di/erent subsequences of a data series follow di/erent statistical distributions – commonly of the same functional form but having di/erent parameters. This paper develops an exact approach for 3nding maximum likelihood estimates of the change points and within-segment parameters when the functional form is within the general exponential family. The algorithm, a...
متن کاملShape Invariant Formulation for Change Point Models in Multiple Dimensions
Artificial intelligence has achieved superhuman performance in a variety of tasks. Unfortunately, this is often done without interpretable methods. In medicine, it is not sufficient to have an algorithm with maximum accuracy. The methods must be evaluated by experts. Our motivating task is to detect features of the eye using unlabeled data. We detect features using a Bayesian changepoint model....
متن کاملDynamic Frailty and Change Point Models for Recurrent Events Data
Abstract. We present a Bayesian analysis for recurrent events data using a nonhomogeneous mixed Poisson point process with a dynamic subject-specific frailty function and a dynamic baseline intensity func- tion. The dynamic subject-specific frailty employs a dynamic piecewise constant function with a known pre-specified grid and the baseline in- tensity uses an unknown grid for the piecewise ...
متن کاملEstimation and comparison of multiple change-point models
This paper provides a new Bayesian approach for models with multiple change points. The centerpiece of the approach is a formulation of the change-point model in terms of a latent discrete state variable that indicates the regime from which a particular observation has been drawn. This state variable is specified to evolve according to a discrete-time discrete-state Markov process with the tran...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Economic Review
سال: 2009
ISSN: 0020-6598,1468-2354
DOI: 10.1111/j.1468-2354.2009.00547.x