Comparing the performances of the priors on the Bayesian estimation of change point location in a sequence of normal random variables

by Ayten Yigiter and Jie Chen.

Abstract: In this paper, the problem of one change point occurring simultaneously in both the mean and variance of a sequence of normal random variables is considered. The Bayesian method is used for the estimation of change point location; and the marginal posterior distributions of the change point location are obtained under the assumptions of uninformative and informative prior distributions for the parameters. The performances of the prior distributions on the estimation of the change point location, with different sample sizes, are investigated via extensive simulation studies.

Key Words: change point; Bayesian approach; uninformative and informative priors

Authors:
Ayten Yigiter, yigiter@hacettepe.edu.tr
Jie Chen, chenj@umkc.edu

Editor: A. M. Abd-Elfattah, a_afattah@hotmail.com

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