PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS

• 成果类型: Article
• 署名作者: Koop, Gary; Potter, Simon M.
• 署名单位: University of Strathclyde; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2009.00547.x
• 发表日期: 2009
• 页码: 751-772
• 关键词: bayesian-analysis; inference

摘要

This article discusses Bayesian inference in change-point models. The main existing approaches treat all change-points equally, a priori, using either a Uniform prior or an informative hierarchical prior. Both approaches assume a known number of change-points. Some undesirable properties of these approaches are discussed. We develop a new Uniform prior that allows some of the change-points to occur out of sample. This prior has desirable properties, can be interpreted as noninformative, and treats the number of change-points as unknown. Artificial and real data exercises show how these different priors can have a substantial impact on estimation and prediction.