Bayesian analysis for detecting a change in exponential family

Dariush Ghorbanzadeh; Rachid Lounes

Journal articles

Bayesian analysis for detecting a change in exponential family

Dariush Ghorbanzadeh ^{1, *} Rachid Lounes ^{2, 3}

* Corresponding author

1 CEDRIC - LAETITIA - CEDRIC. Traitement du signal et architectures électroniques

CEDRIC - Centre d'études et de recherche en informatique et communications

2 MAP5 - Mathématiques Appliquées à Paris 5

3 UPD5 Mathématiques Informatique - Université Paris Descartes - UFR de Mathématiques et Informatique

Abstract : We propose a bayesian analysis of detection of a change of parameter in a sequence of independent random variables from exponential family. The test uses the highest posterior density credible set.

Keywords : p-value HPD credible set change point posterior distribution

Document type :

Journal articles

Domain :

Mathematics [math] / Statistics [math.ST]

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https://hal-univ-paris.archives-ouvertes.fr/hal-00264151
Contributor : Rachid Lounes <>
Submitted on : Friday, March 14, 2008 - 1:45:27 PM
Last modification on : Thursday, October 1, 2020 - 9:46:45 AM

Bayesian analysis for detecting a change in exponential family

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Bayesian analysis for detecting a change in exponential family

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