A Bayes procedure for detecting change in exponential random observations

Dariush Ghorbanzadeh (1) , Rachid Lounès (2)

1 CEDRIC - LAETITIA - CEDRIC. Traitement du signal et architectures électroniques
2 MAP5 - UMR 8145 - Mathématiques Appliquées Paris 5

We propose a test for detection of change of a parameter in a sequence of independent exponential random variables. The test use Bayes technique appropriately adapted for a change point problem. We apply the results for a set of data of the measurements of the annual volume of discharge from the Nile River at Aswan for the years 1871 to 1970.

Mots clés: posterior distribution; change point; improper prior; posterior distribution.

Domaines: Applications [stat.AP]

Dariush Ghorbanzadeh, Rachid Lounès. A Bayes procedure for detecting change in exponential random observations. Student, 1998, 2 (3), pp.229-236. ⟨hal-00459571⟩