Munich Personal RePEc Archive

Dirichlet Process Hidden Markov Multiple Change-point Model

Ko, Stanley I. M. and Chong, Terence T. L. and Ghosh, Pulak (2014): Dirichlet Process Hidden Markov Multiple Change-point Model. Forthcoming in: Bayesian Analysis


Download (586kB) | Preview


This paper proposes a new Bayesian multiple change-point model which is based on the hidden Markov approach. The Dirichlet process hidden Markov model does not require the specification of the number of change-points a priori. Hence our model is robust to model specification in contrast to the fully parametric Bayesian model. We propose a general Markov chain Monte Carlo algorithm which only needs to sample the states around change-points. Simulations for a normal mean-shift model with known and unknown variance demonstrate advantages of our approach. Two applications, namely the coal-mining disaster data and the real US GDP growth, are provided. We detect a single change-point for both the disaster data and US GDP growth. All the change-point locations and posterior inferences of the two applications are in line with existing methods.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.