Sun, 27 Jul 2008 08:19:13 BST CiteULike: mshafiei's change-point-detection http://www.citeulike.org/user/mshafiei/tag/change-point-detection CiteULike.org en-gb Copyright © 2004-2008 citeulike.org http://www.citeulike.org/user/mshafiei/article/523442 <i>Journal of Econometrics, Vol. 86, No. 2. (October 1998), pp. 221-241.</i><br /><br />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 transition probabilities constrained so that the state variable can either stay at the current value or jump to the next higher value. This parameterization exactly reproduces the change point model. The model is estimated by Markov chain Monte Carlo methods using an approach that is based on Chib (1996). This methodology is quite valuable since it allows for the fitting of more complex change point models than was possible before. Methods for the computation of Bayes factors are also developed. All the techniques are illustrated using simulated and real data sets. Estimation and comparison of multiple change-point models Siddhartha Chib doi:10.1016/S0304-4076(97)00115-2 Journal of Econometrics, Vol. 86, No. 2. (October 1998), pp. 221-241. 2006-02-27T14:47:13-00:00 1998 Journal of Econometrics 86 2 221 241 change-point-detection http://www.citeulike.org/user/mshafiei/article/2480026 <i>(2002)</i> Segmental semi-markov models and applications to sequence analysis Xianping Ge (2002) 2008-03-06T19:07:29-00:00 2002 University of California, Irvine change-point-detection segmentation http://www.citeulike.org/user/mshafiei/article/2480010 <i>(2000)</i> Segmental Semi-Markov Models for Change-Point Detection with Applications to Semiconductor Manufacturing X Ge P Smyth (2000) 2008-03-06T19:04:30-00:00 2000 change-point-detection segmentation