@techreport{231fc624dfea4ad8a935c344accd46c6,
title = "Prior elicitation in multiple change-point models",
abstract = "This paper discusses Bayesian inference in change-point models. Existing approaches involve placing a (possibly hierarchical) prior over a known number of change-points. We show how two popular priors have some potentially undesirable properties (e.g. allocating excessive prior weight to change-points near the end of the sample) and discuss how these properties relate to imposing a fixed number of changepoints in-sample. We develop a new hierarchical approach which allows some of of change-points to occur out-of sample. We show that this prior has desirable properties and handles the case where the number of change-points is unknown. Our hierarchical approach can be shown to nest a wide variety of change-point models, from timevarying parameter models to those with few (or no) breaks. Since our prior is hierarchical, data-based learning about the parameter which controls this variety occurs.",
keywords = "bayesian inference, change-point models, change-points, statistics, economics",
author = "Gary Koop and Potter, {Simon M.}",
year = "2004",
month = sep,
language = "English",
series = "Department of Economics Working Papers",
publisher = "University of Leicester",
type = "WorkingPaper",
institution = "University of Leicester",
}