A Bayesian Change Point Model for Historical Time Series Analysis

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文件名称：A Bayesian Change Point Model for Historical Time Series Analysis
文件大小：233KB
文件格式：PDF
更新时间：2014-02-10 03:45:21
bayesian change point time series by Bruce Western, Meredith Kleykamp in Princeton University: 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.