Article ID: | iaor20031676 |
Country: | United Kingdom |
Volume: | 30 |
Issue: | 3 |
Start Page Number: | 463 |
End Page Number: | 482 |
Publication Date: | Mar 2003 |
Journal: | Computers and Operations Research |
Authors: | Cruz F.R.B., Loschi R.H., Iglesias P.L., Arellano-Valle R.B. |
Keywords: | statistics: sampling |
This paper extends previous results for the classical product partition model applied to the identification of multiple change points in the means and variances of time series. Prior distributions for these two parameters and for the probability