Multipartition model for multiple change point identification

被引：1

作者：

Pedroso, Ricardo C. ^{[1
]}

Loschi, Rosangela H. ^{[1
]}

Quintana, Fernando Andres ^{[2
,3
]}

机构：

[1] Univ Fed Minas Gerais, Dept Estat, Belo Horizonte, Brazil

[2] Pontificia Univ Catolica Chile, Dept Estadist, Santiago, Chile

[3] Millennium Nucleus Ctr Discovery Struct Complex Da, Santiago, Chile

来源：

TEST | 2023年 / 32卷 / 02期

关键词：

Random partitions; Product distribution; Temporal cluster; PRODUCT PARTITION MODELS; BAYESIAN-ANALYSIS; INFERENCE; MULTIVARIATE; DEPENDENCE;

D O I：

10.1007/s11749-023-00851-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The product partition model (PPM) is widely used for detecting multiple change points. Because changes in different parameters may occur at different times, the PPM fails to identify which parameters experienced the changes. To solve this limitation, we introduce a multipartition model to detect multiple change points occurring in several parameters. It assumes that changes experienced by each parameter generate a different random partition along the time axis, which facilitates identifying those parameters that changed and the time when they do so. We apply our model to detect multiple change points in Normal means and variances. Simulations and data illustrations show that the proposed model is competitive and enriches the analysis of change point problems.

引用

页码：759 / 783

页数：25

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