Hierarchical Bayesian Analysis of Changepoint Problems

A general approach to hierarchical Bayes changepoint models is presented. In particular, desired marginal posterior densities are obtained utilizing the Gibbs sampler, an iterative Monte Carlo method. This approach avoids sophisticated analytic and numerical high dimensional integration procedures....

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Veröffentlicht in:Applied Statistics 1992-01, Vol.41 (2), p.389-405
Hauptverfasser: Carlin, Bradley P., Gelfand, Alan E., Adrian F. M. Smith
Format: Artikel
Sprache:eng
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Zusammenfassung:A general approach to hierarchical Bayes changepoint models is presented. In particular, desired marginal posterior densities are obtained utilizing the Gibbs sampler, an iterative Monte Carlo method. This approach avoids sophisticated analytic and numerical high dimensional integration procedures. We include an application to changing regressions, changing Poisson processes and changing Markov chains. Within these contexts we handle several previously inaccessible problems.
ISSN:0035-9254
1467-9876
DOI:10.2307/2347570