Abstract
| Language | English |
|---|---|
| Pages | 751-772 |
| Number of pages | 21 |
| Journal | International Economic Review |
| Volume | 50 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Aug 2009 |
Fingerprint
Keywords
- change-point models
- Bayesian inference
- Uniform prior
Cite this
}
Prior elicitation in multiple change-point models. / Koop, G.M.; Potter, S.
In: International Economic Review, Vol. 50, No. 3, 08.2009, p. 751-772.Research output: Contribution to journal › Article
TY - JOUR
T1 - Prior elicitation in multiple change-point models
AU - Koop, G.M.
AU - Potter, S.
N1 - Also available as a working paper (2004): http://personal.strath.ac.uk/gary.koop/kp12rev.pdf
PY - 2009/8
Y1 - 2009/8
N2 - 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.
AB - 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.
KW - change-point models
KW - Bayesian inference
KW - Uniform prior
UR - http://www3.interscience.wiley.com/journal/118518576/home
UR - http://dx.doi.org/10.1111/j.1468-2354.2009.00547.x
U2 - 10.1111/j.1468-2354.2009.00547.x
DO - 10.1111/j.1468-2354.2009.00547.x
M3 - Article
VL - 50
SP - 751
EP - 772
JO - International Economic Review
T2 - International Economic Review
JF - International Economic Review
SN - 0020-6598
IS - 3
ER -