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Lookup NU author(s): Dr Cristiano Villa
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A loss-based approach to change point analysis is proposed. In particular, the problem is looked from two perspectives. The first focuses on the definition of a prior when the number of change points is known a priori. The second contribution aims to estimate the number of change points by using a loss-based approach recently introduced in the literature. The latter considers change point estimation as a model selection exercise. The performance of the proposed approach is shown on simulated data and real data sets.
Author(s): Hinoveanu L, Leisen F, Villa C
Publication type: Article
Publication status: Published
Journal: Computational Statistics and Data Analysis
Print publication date: 01/01/2019
Online publication date: 23/08/2018
Acceptance date: 10/08/2018
ISSN (print): 0167-9473
ISSN (electronic): 1872-7352
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