2015
DOI: 10.48550/arxiv.1510.07129
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Bayesian Inference for High Dimensional Changing Linear Regression with Application to Minnesota House Price Index Data

Abhirup Datta,
Hui Zou,
Sudipto Banerjee

Abstract: In many applications, the dataset under investigation exhibits heterogeneous regimes that are more appropriately modeled using piece-wise linear models for each of the data segments separated by change-points. Although there have been much work on change point linear regression for the low dimensional case, high-dimensional change point regression is severely underdeveloped. Motivated by the analysis of Minnesota House Price Index data, we propose a fully Bayesian framework for fitting changing linear regressi… Show more

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