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BAYESIAN DETECTION OF STRUCTURAL CHANGES

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NOBUHISA KASHIWAGI

*The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu,*

Minato-ku, Tokyo 106, Japan
(Received November 16, 1988; revised February 21, 1990)

**Abstract.**
A Bayesian solution is given to the problem of
making inferences about an unknown number of structural changes in a
sequence of observations. Inferences are based on the posterior
distribution of the number of change points and on the
posterior probabilities of possible change points. Detailed analyses are
given for binomial data and some regression problems, and numerical
illustrations are provided. In addition, an approximation procedure to
compute the posterior probabilities is presented.

*Key words and phrases*:
Bayesian inference, change point,
predictive log likelihood, Lindisfarne scribes problem, regression.

**Source**
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