• Journal of the Korean Data and Information Science Society
• /
• v.26 no.1
• /
• pp.261-269
• /
• 2015

Nowadays the application of change point analysis has been indispensable in a wide range of areas such as quality control, finance, environmetrics, medicine, geographics, and engineering. Identification of times where process changes would help minimize the consequences that might happen afterwards. The main objective of this paper is to compare the change-point detection capabilities of Bayesian estimate and maximum likelihood estimate. We applied Bayesian and maximum likelihood techniques to formulate change points having a step change and multiple number of change points in a Poisson rate. After a signal from c-chart and Poisson cumulative sum control charts have been detected, Monte Carlo simulation has been applied to investigate the performance of Bayesian and maximum likelihood estimation. Change point detection capacities of Bayesian and maximum likelihood estimation techniques have been investigated through simulation. It has been found that the Bayesian estimates outperforms standard control charts well specially when there exists a small to medium size of step change. Moreover, it performs convincingly well in comparison with the maximum like-lihood estimator and remains good choice specially in confidence interval statistical inference.

• Journal of Korean Society for Quality Management
• /
• v.35 no.4
• /
• pp.159-165
• /
• 2007

Using statistical methods a change-point analysis of oil supply disruption is conducted. The statistical distribution of oil supply disruption is a weibull distribution. The detection of the change-point is applied to Bayesian method and weibull parameters are estimated through Markov chain monte carlo and parameter approach. The statistical approaches to the estimation for the change-point and weibull parameters is implemented with the sets of simulated and real data with small sizes of samples.

• The Korean Journal of Applied Statistics
• /
• v.17 no.2
• /
• pp.281-301
• /
• 2004

In this paper we consider the change point problem in a sequence of univariate normal observations. We want to know whether there is any change point or not. In case a change point exists, we will identify its change type. Namely, it can be a mean change, a variance change, or both the mean and variance change. The intrinsic Bayes factors of Berger and Pericchi (1996, 1998) are used to find the type of optimal change model. The Gibbs sampling including the Metropolis-Hastings algorithm is used to estimate all the parameters in the change model. These methods are checked via simulation and applied to the winter average temperature data in Seoul.

• Proceedings of the Korean Society for Quality Management Conference
• /
• 2006.04a
• /
• pp.319-324
• /
• 2006

In this paper, we propose Bayesian procedure for the multiple change points analysis in a sequence of fractions nonconforming. We first compute the Bayes factor for detecting the existence of no change, a single change or multiple changes. The Gibbs sampler with the Metropolis-Hastings subchain is run to estimate parameters of the change point model, once the number of change points is identified. Finally, we apply the results developed in this paper to both a real and simulated data.

• Communications for Statistical Applications and Methods
• /
• v.6 no.3
• /
• pp.801-812
• /
• 1999

Change-point hazard rate models arise for example in applying "burn-in" techniques to screen defective items and in studing times until undesirable side effects occur in clinical trials. Sometimes in screening defectives it might be sensible to model two stages of burn-in. In a clinical trial there might be an initial hazard rate for a side effect which after a period of time changes to an intermediate hazard rate before settling into a long term hazard rate. In this paper we consider the multiple change points hazard rate model. The classical approach's asymptotics can be poor for the small to all moderate sample sizes often encountered in practice. We propose a Bayesian approach avoiding asymptotics to provide more reliable inference conditional only upon the data actually observed. The Bayesian models can be fitted using simulation methods. Model comparison is made using recently developed Bayesian model selection criteria. The above methodology is applied to a generated data and to a generated data and the Lawless(1982) failure times of electrical insulation.

• Journal of Industrial Technology
• /
• v.35
• /
• pp.23-30
• /
• 2015

In recent, the various methods to predict the hydrological impacts due to climate change have been developed and applied. Especially, the variability of the meteorological factors such as rainfall, temperature, and evaporation can impact on the ecosystem in a basin. The variability caused by climate change on the meteorological factors can be divided by a gradual and abrupt change. Therefore, in this study, the gradual change is detected by simple linear regression and Mann-Kendall trend test. Also, the abrupt change is detected by Bayesian change point analysis. Finally, the result using these methods can identify the meteorological threats in the Cheongmicheon basin.

• Journal of Korea Water Resources Association
• /
• v.47 no.9
• /
• pp.753-766
• /
• 2014

The future mean sea level rise (MSLR) due to climate change in major harbors of Korean Peninsula has been estimated by some statistical methods in this article. Firstly, Mann-Kendall non-parametric trend test to find some trend in the observed long-term tidal data has been performed and also Bayesian change point analysis has been used also to detect the location of change points and their magnitude quantitatively. Especially, in this study, the results from Bayesian change point analysis have been applied to combine 4 future MSLR scenario projections with local MSLR data at 5 tidal gauges. This proposed procedure including Bayesian change point analysis results can improve the step for the determination of starting years of future MLSR scenario projections with 18.6-year lunar node tidal cycle and effectively consider local characteristics at each gauge. The final results by the proposed procedure in this study have shown that the future MSLR in Jeju region (Jeju tidal gauge) is in the largest increment and also the future MSLRs in Western region (Boryeong tidal gauge) and Southern region (Busan tidal gauge) are in the second largest one. Finally, it has been shown that the future MSLRs in Southern region (Yeosu tidal gauge) and Eastern region (Sokcho tidal gauge) seem to be in the relatively smallest growth among 5 gauges.

• Journal of the Korean Statistical Society
• /
• v.31 no.1
• /
• pp.1-16
• /
• 2002

Since changepoint identification is important in many data analysis problem, we wish to make inference about the locations of one or more changepoints of the sequence. We consider the Bayesian nonparameteric inference for multiple changepoint problem using a Bayesian segmentation procedure proposed by Yang and Kuo (2000). A mixture of products of Dirichlet process is used as a prior distribution. To decide whether there exists a single change or not, our approach depends on nonparametric Bayesian Schwartz information criterion at each step. We discuss how to choose the precision parameter (total mass parameter) in nonparametric setting and show that the discreteness of the Dirichlet process prior can ha17e a large effect on the nonparametric Bayesian Schwartz information criterion and leads to conclusions that are very different results from reasonable parametric model. One example is proposed to show this effect.

• Journal of Korea Water Resources Association
• /
• v.50 no.2
• /
• pp.75-87
• /
• 2017

In recent decades, extreme events have been significantly increased over the Korean Peninsula due to climate variability and climate change. The potential changes in hydrologic cycle associated with the extreme events increase uncertainty in water resources planning and designing. For these reasons, a reliable changing point analysis is generally required to better understand regime changes in hydrologic time series at watershed scale. In this study, a hierarchical changing point analysis approach that can apply in a watershed scale is developed by combining the existing changing point analysis method and hierarchical Bayesian method. The proposed model was applied to the selected stations that have annual rainfall data longer than 40 years. The results showed that the proposed model can quantitatively detect the shift in precipitation in the middle of 1990s and identify the increase in annual precipitation compared to the several decades prior to the 1990s. Finally, we explored the changes in precipitation and sea level pressure in the context of large-scale climate anomalies using reanalysis data, for a given change point. It was concluded that the identified large-scale patterns were substantially different from each other.

• Journal of Wetlands Research
• /
• v.15 no.2
• /
• pp.233-250
• /
• 2013

Gradually or radically change how the characteristics of the climate characteristic using change point analysis for the precipitation indicators were investigated. Significantly the amount, extreme and frequency were separated by precipitation indicators, each indicator RIA(Rainfall Index for Amount), RIE(Rainfall Index for Extremes) and RIF(Rainfall Index for Frequency) was defined. Bayesian Change Point was applied to investigate changing over time of precipitation indicators calculated. As the result of analysis, precipitation indicators in South Korea was found to recently increase all indicators except for the annual precipitation days and 200-yr precipitation. RIA revealed that there was a very clear point of significance for the change in Ulleungdo, Relatively significant results for RIE were identified in Gumi, Jecheon and Seogwipo. Also, since the 1990s, an increase in the number of variation points, and the horizontal width of the fluctuation point was being relatively wider. Based on these results, rethink the precipitation on the assumption of stationarity was judged necessary.