Nam, Christopher F. H., Aston, John A. D. and Johansen, Adam M.. (2012) Quantifying the uncertainty in change points. Journal of Time Series Analysis, Vol.33 (No.5). pp. 807-823. ISSN 0143-9782

Full text not available from this repository.

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 article 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 flexible and computationally efficient procedure, which does not require estimates of the underlying state sequence. We illustrate that good estimation of the posterior distributions of change point characteristics is provided for simulated data and functional magnetic resonance imaging data. We use the methodology to show that the modelling of relevant physical properties of the scanner can influence detection of change points and their uncertainty. © 2012 Blackwell Publishing Ltd.

Item Type:	Journal Article
Subjects:	H Social Sciences > HA Statistics
Divisions:	Faculty of Science > Statistics
Journal or Publication Title:	Journal of Time Series Analysis
Publisher:	Wiley-Blackwell Publishing Ltd.
ISSN:	0143-9782
Date:	September 2012
Volume:	Vol.33
Number:	No.5
Page Range:	pp. 807-823
Identification Number:	10.1111/j.1467-9892.2011.00777.x
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
URI:	http://wrap.warwick.ac.uk/id/eprint/44378

Request changes to a record

Actions (login required)

View Item