A Bayesian significance test of change for correlated observations

• Autorzy: Abdeldjalil Slama
• Języki publikacji: EN

Abstrakty

EN

This paper presents a Bayesian significance test for a change in mean when observations are not independent. Using a noninformative prior, a unconditional test based on the highest posterior density credible set is determined. From a Gibbs sampler simulation study the effect of correlation on the performance of the Bayesian significance test derived under the assumption of no correlation is examined. This paper is a generalization of earlier studies by KIM (1991) to not independent observations.

Słowa kluczowe

EN

autoregressive model; change point; HPD region sets; p-value; Gibbs sampler

Kategorie tematyczne

• 62F03: Hypothesis testing
• 62F15: Bayesian inference
• 62M10: Time series, auto-correlation, regression, etc.

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2014
• Tom: 34
• Numer: 1-2
• Strony: 51-62

Daty

wydano

2014

otrzymano

2014-05-12

poprawiono

2014-07-23

Twórcy

autor

Abdeldjalil Slama

• Departemnet of Mathematics and Computer Science, University of Adrar, National Road No. 06, Adrar, Algeria
• Departement of Probability and Statistics, USTHB, P.O. Box 32 EL Alia 16111 Bab Ezzouar, Algiers, Algeria

Bibliografia

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Identyfikatory

DOI

10.7151/dmps1169