Bayesian analysis for detecting a change in exponential family

Dariush Ghorbanzadeh (1) , Rachid Lounes (2, 3)

1 CEDRIC - LAETITIA - CEDRIC. Traitement du signal et architectures électroniques
2 MAP5 - Mathématiques Appliquées à Paris 5
3 UPD5 Mathématiques Informatique - Université Paris Descartes - UFR de Mathématiques et Informatique

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

Domains: Mathematics [math]; Statistics [math.ST]

Dariush Ghorbanzadeh, Rachid Lounes. Bayesian analysis for detecting a change in exponential family. Applied Mathematics and Computation, 2001, 124, pp.1-15. ⟨hal-00264151⟩