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On-line changepoint detection and parameter estimation with application to genomic data

Abstract:

An efficient on-line changepoint detection algorithm for an important class of Bayesian product partition models has been recently proposed by Fearnhead and Liu (in J. R. Stat. Soc. B 69, 589-605, 2007). However a severe limitation of this algorithm is that it requires the knowledge of the static parameters of the model to infer the number of changepoints and their locations. We propose here an extension of this algorithm which allows us to estimate jointly on-line these static parameters usi...

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Publication status:
Published

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Publisher copy:
10.1007/s11222-011-9248-x

Authors


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Institution:
University of Oxford
Department:
Oxford, MPLS, Statistics
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Statistics
Gottardo, R More by this author
Journal:
STATISTICS AND COMPUTING
Volume:
22
Issue:
2
Pages:
579-595
Publication date:
2012-03-05
DOI:
EISSN:
1573-1375
ISSN:
0960-3174
URN:
uuid:9b2f005d-e598-4e6c-823f-f1a5f425da78
Source identifiers:
216471
Local pid:
pubs:216471

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