Recursive Bayesian location of a discontinuity in time series

Authors:
J. J. O Ruanaidh;W. J. Fitzgerald;K. J. Pope
Affiliations:
Dept. of Eng., Cambridge Univ., UK;Dept. of Eng., Cambridge Univ., UK;Dept. of Eng., Cambridge Univ., UK
Venue:
ICASSP '94 Proceedings of the Acoustics, Speech, and Signal Processing,1994. on IEEE International Conference - Volume 04
Year:
1994

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Abstract

This paper presents a Bayesian approach to the location of a discontinuity in linearly modelled data. A matrix formulation is introduced which allows the modelling of changepoints in general linear models. Linear models investigated include abrupt changes in the mean of a Gaussian random variable, and piecewise polynomials such as splines, as well as autoregressive models. The approach facilitates the removal of nuisance parameters by integration. A general recursive technique for updating Bayesian posterior densities, which can result in large savings in computation, is also described.