2006
DOI: 10.1007/s11222-006-8450-8
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Exact and efficient Bayesian inference for multiple changepoint problems

Abstract: Summary We demonstrate how to perform direct simulation from the posterior distribution of a class of multiple changepoint models where the number of changepoints is unknown. The class of models assumes independence between the posterior distribution of the parameters associated with segments of data between successive changepoints. This approach is based on the use of recursions, and is related to work on product partition models. The computational complexity of the approach is quadratic in the number of obse… Show more

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Cited by 396 publications
(481 citation statements)
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“…Another interesting refinement would be to make the substitution rate in recombined regions nonconstant. One way to do this would be to have a different value of n for each recombined region, but this implies a nonconstant dimensionality of the parameter space, which requires the use of complex inferential methods, for example, reversible-jump MCMC (Green 1995) or exact sampling (Fearnhead 2006). Alternatives include having a different value of n for each branch or having several possible values of n representing different distances of the import source.…”
Section: Discussionmentioning
confidence: 99%
“…Another interesting refinement would be to make the substitution rate in recombined regions nonconstant. One way to do this would be to have a different value of n for each recombined region, but this implies a nonconstant dimensionality of the parameter space, which requires the use of complex inferential methods, for example, reversible-jump MCMC (Green 1995) or exact sampling (Fearnhead 2006). Alternatives include having a different value of n for each branch or having several possible values of n representing different distances of the import source.…”
Section: Discussionmentioning
confidence: 99%
“…Temporal segmentation is related to numbers of different fields such as data mining [6] [7], behavior recognition [8] and so on. Researchers have proposed several techniques to segment motion capture data into distinct behaviors.…”
Section: Related Workmentioning
confidence: 99%
“…There is a variety of efficient ways to analyze a time series if the parameters associated with each segment are independent (Fearnhead 2006;Hutter 2007, and references therein). Scargle (1998) proposed an algorithm for best data partitioning within an interval based on Bayesian statistics.…”
Section: Theory and Calculationmentioning
confidence: 99%