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Quantifying the uncertainty in change points
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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. doi:10.1111/j.1467-9892.2011.00777.x ISSN 0143-9782.
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Official URL: http://dx.doi.org/10.1111/j.1467-9892.2011.00777.x
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.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HA Statistics Q Science > QC Physics |
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Monte Carlo method, Mathematical models, Magnetic resonance imaging , Stochastic processes | ||||
Journal or Publication Title: | Journal of Time Series Analysis | ||||
Publisher: | Wiley-Blackwell Publishing Ltd. | ||||
ISSN: | 0143-9782 | ||||
Official Date: | September 2012 | ||||
Dates: |
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Volume: | Volume 33 | ||||
Number: | Number 5 | ||||
Page Range: | pp. 807-823 | ||||
DOI: | 10.1111/j.1467-9892.2011.00777.x | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 20 December 2015 | ||||
Date of first compliant Open Access: | 20 December 2015 | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC), Higher Education Funding Council for England (HEFCE) | ||||
Grant number: | EP/H016856/1, EP/I017984/1 | ||||
Version or Related Resource: | Nam, C.F.H., Aston, J.A.D and Johansen, A.M. (2011). Quantifying the uncertainty in change points. [Coventry] : University of Warwick. Centre for Research in Statistical Methodology. (Working papers, no.11-19) http://wrap.warwick.ac.uk/id/eprint/37291 | ||||
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