Bayesian Multiple Change-point Estimation in Normal with EMC

  • Kim, Jae-Hee (Department of Statistics, Duksung Women's University) ;
  • Cheon, Soo-Young (Department of Statistics, Texas A&M University, College Station)
  • Published : 2006.12.31


In this paper, we estimate multiple change-points when the data follow the normal distributions in the Bayesian way. Evolutionary Monte Carlo (EMC) algorithm is applied into general Bayesian model with variable-dimension parameters and shows its usefulness and efficiency as a promising tool especially for computational issues. The method is applied to the humidity data of Seoul and the final model is determined based on BIC.



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