Nam, Christopher F. H., Aston, John A. D. and Johansen, Adam M. (2011) Quantifying the uncertainty in change points. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).

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Abstract

Quantifying the uncertainty in the location and nature of change points in time series is important in a variety of applications. Many existing methods for estimation of the number and location of change points fail to capture fully or explicitly the uncertainty regarding these estimates, whilst others require explicit simulation of large vectors of dependent latent variables. This paper proposes methodology for approximating the full posterior distribution of various change point characteristics in the presence of parameter uncertainty. The methodology combines recent work on evaluation of exact change point distributions conditional on model parameters via Finite Markov Chain Imbedding in a Hidden Markov Model setting, and accounting for parameter uncertainty and estimation via Bayesian modelling and Sequential Monte Carlo. The combination of the two leads to a exible and computationally efficient procedure, which does not require estimates of the underlying state sequence. We illustrate that good estimation of posterior distributions regarding change point characteristics is provided for simulated and functional magnetic resonance imaging data. We use the methodology to show that the modelling of relevant physical properties of the scanner can in uence detection of change points and their uncertainty.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Change-point problems
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Date:	31 May 2011
Volume:	Volume 2011
Number:	Number 19
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Engineering and Physical Sciences Research Council (EPSRC), Higher Education Funding Council for England (HEFCE)
Grant number:	EP/H016856/1 (EPSRC), EP/I017984/1 (EPSRC)
Version or Related Resource:	Nam, Christopher F. H., Aston, John A. D. and Johansen, Adam M. (2012). Quantifying the uncertainty in change points. Journal of Time Series Analysis, Volume 33 (Number 5). pp. 807-823. ISSN 0143-9782 http://wrap.warwick.ac.uk/id/eprint/44378
Related URLs:	http://dx.doi.org/10.1111/j.1467-9892.20...
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URI:	http://wrap.warwick.ac.uk/id/eprint/37291

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