Acknowledgement
Supported by : Korea Science and Engineering Foundation
Journal of Korean Society for Quality Management (품질경영학회지)
- Volume 17 Issue 2
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- Pages.101-112
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- 1989
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- 1229-1889(pISSN)
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- 2287-9005(eISSN)
A Detection Procedure of a Parameter Change Point in AR(1) Models by Bayesian Approach
- Ryu, Gui Yeol (Department of Computer Science and Statistics, College of Natural Science, Seoul National University) ;
- Lee, Yong Gun (Department of Computer Science and Statistics, College of Natural Science, Seoul National University) ;
- Cho, Sinsup (Department of Computer Science and Statistics, College of Natural Science, Seoul National University)
- Published : 1989.11.25
Abstract
We investigate a procedure which detects the parameter change point in AR(1) by Bayesian Approach using Jeffrey prior, for example, coefficient change point, variance change point, coefficient and variance change point, etc. And we apply our procedure to the simulated data.
Keywords