scholarly journals Bayesian Inference on Regression Model with an Unknown Change Point

2021 ◽  
pp. 48-55
Author(s):  
Oluwadare O Ojo
Keyword(s):  
Regression Model ◽  
Change Point ◽  
Change Points ◽  
Bayesian Procedure ◽  
Point Model ◽  
Simulation Experiments ◽  
True Parameter ◽  
Posterior Inference ◽  
Change Point Model ◽  
Parameter Values

In this work, we describe a Bayesian procedure for detection of change-point when we have an unknown change point in regression model. Bayesian approach with posterior inference for change points was provided to know the particular change point that is optimal while Gibbs sampler was used to estimate the parameters of the change point model. The simulation experiments show that all the posterior means are quite close to their true parameter values. The performance of this method is recommended for multiple change points.

scholarly journals Using the Change Point Model (CPM) Framework to Identify Windows for Water Resource Management Action in the Lower Colorado River Basin of Texas, USA

Water ◽  
2021 ◽  
Vol 14 (1) ◽  
pp. 18
Author(s):  
Brendan L. Lavy ◽  
Russell C. Weaver ◽  
Ronald R. Hagelman
Keyword(s):  
Resource Management ◽  
Water Use ◽  
Change Point ◽  
Water Resource Management ◽  
Colorado River ◽  
Change Points ◽  
Point Model ◽  
Change Point Model ◽  
Lower Colorado River Basin ◽  
Lower Colorado River

In water-stressed river basins with growing urban populations, conflicts over water resources have emerged between urban and agricultural interests, as managerial interventions occur with little warning and tend to favor urban over agricultural water uses. This research documents changes in water use along an urban-to-agricultural gradient to examine whether it is possible to leverage temporal fluctuations in key quantitative data indicators to detect periods in which we could expect substantive managerial interventions in water resource management. We employ the change point model (CPM) framework to locate shifts in water use, climate-related indicators, lake and river characteristics, and agricultural trends across urban and agricultural counties in the lower Colorado River basin of Texas. Three distinctive groupings of change points appear. Increasing water use by urban counties and a shift in local climate conditions characterize the first period. Declines in agricultural counties’ water use and crop production define the second. Drops in lake levels, lower river discharge, and an extended drought mark the third. We interpret the results relative to documented managerial intervention events and show that managerial interventions occur during and after significant change points. We conclude that the CPM framework may be used to monitor the optimal timing of managerial interventions and their effects to avoid negative outcomes.

A Bayesian Change Point Model for Historical Time Series Analysis

2004 ◽  
Vol 12 (4) ◽  
pp. 354-374 ◽  
Author(s):  
Bruce Western ◽  
Meredith Kleykamp
Keyword(s):  
Time Series ◽  
Change Point ◽  
Regression Coefficients ◽  
Simulation Methods ◽  
Historical Time ◽  
Point Location ◽  
Point Model ◽  
Political Relationships ◽  
Standard Models ◽  
Change Point Model

Political relationships often vary over time, but standard models ignore temporal variation in regression relationships. We describe a Bayesian model that treats the change point in a time series as a parameter to be estimated. In this model, inference for the regression coefficients reflects prior uncertainty about the location of the change point. Inferences about regression coefficients, unconditional on the change-point location, can be obtained by simulation methods. The model is illustrated in an analysis of real wage growth in 18 OECD countries from 1965–1992.

scholarly journals Discriminating between Long Memory and Volatility Shifts

2016 ◽  
Vol 36 (4) ◽  
Author(s):  
Aonan Zhang ◽  
Robertas Gabrys ◽  
Piotr Kokoszka
Keyword(s):  
Long Memory ◽  
Change Point ◽  
Kernel Estimator ◽  
Practical Implementation ◽  
Point Model ◽  
Variance Estimators ◽  
Long Run ◽  
The Us ◽  
Change Point Model ◽  
Stock Indexes

We develop a practical implementation of the test proposed in Berkes, Horv´ath, Kokoszka, and Shao (2006) designed to distinguish between a change-point model and a long memory model. Our implementation is calibrated to distinguish between a shift in volatility of returns and long memory in squared returns. It uses a kernel estimator of the long-run variance of squared returns with the maximal lag selected by a data driven procedure which depends on the sample size, the location of the estimated change point and the direction of the apparent volatility shift (increase versus decrease). In a simulations study, we also consider other long-run variance estimators, including the VARHAC estimator, but we find that they lead to tests with inferior performance. Applied to returns on indexes and individual stocks, our test indicates that even for the same asset, a change-point model may be preferable for a certain period of time, whereas there is evidence of long memory in another period of time. Generally there is stronger evidence for long memory in the eight years ending June 2006 than in the eight years starting January 1992. This pattern is most pronounced for US stock indexes and shares in the US financial sector.

A Bayesian hierarchical change point model with parameter constraints

2020 ◽  
pp. 096228022094809
Author(s):  
Hong Li ◽  
Andreana Benitez ◽  
Brian Neelon
Keyword(s):  
Alzheimer’S Disease ◽  
Alzheimer's Disease ◽  
Cognitive Decline ◽  
Change Point ◽  
Normal Aging ◽  
Point Model ◽  
Bayesian Hierarchical ◽  
Random Slope ◽  
Change Point Model ◽  
Parameter Constraints

Alzheimer’s disease is the leading cause of dementia among adults aged 65 or above. Alzheimer’s disease is characterized by a change point signaling a sudden and prolonged acceleration in cognitive decline. The timing of this change point is of clinical interest because it can be used to establish optimal treatment regimens and schedules. Here, we present a Bayesian hierarchical change point model with a parameter constraint to characterize the rate and timing of cognitive decline among Alzheimer’s disease patients. We allow each patient to have a unique random intercept, random slope before the change point, random change point time, and random slope after the change point. The difference in slope before and after a change point is constrained to be nonpositive, and its parameter space is partitioned into a null region (representing normal aging) and a rejection region (representing accelerated decline). Using the change point time, the estimated slope difference, and the threshold of the null region, we are able to (1) distinguish normal aging patients from those with accelerated cognitive decline, (2) characterize the rate and timing for patients experiencing cognitive decline, and (3) predict personalized risk of progression to dementia due to Alzheimer’s disease. We apply the approach to data from the Religious Orders Study, a national cohort study of aging Catholic nuns, priests, and lay brothers.

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