• The Korean Journal of Applied Statistics
• /
• v.25 no.6
• /
• pp.999-1008
• /
• 2012

A Bayesian multiple change-point model for small data is proposed for multivariate means and is an extension of the univariate case of Cheon and Yu (2012). The proposed model requires data from a multivariate noncentral $t$-distribution and conjugate priors for the distributional parameters. We apply the Metropolis-Hastings-within-Gibbs Sampling algorithm to the proposed model to detecte multiple change-points. The performance of our proposed algorithm has been investigated on simulated and real dataset, Hanwoo fat content bivariate data.

• Journal of the Korean Data and Information Science Society
• /
• v.28 no.4
• /
• pp.889-898
• /
• 2017

In this research multiple change-points estimation for South Korean electricity generation data is considered. We analyze the South Korean electricity data via deterministically trending dynamic time series model with multiple structural changes in trends in a Bayesian approach. The number of change-points and the timing are unknown. The goal is to find the best model with the appropriate number of change-points and the length of the segments. A genetic algorithm is implemented to solve this optimization problem with a variable dimension of parameters. We estimate the structural change-points for South Korean electricity generation data and Nile River flow data additionally.

• 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.11 no.1
• /
• pp.79-91
• /
• 2004

In this thesis, Bayesian parameter estimation procedure is discussed for the mean change model of multivariate normal random variates under the assumption of noninformative priors for all the parameters. Parameters are estimated by Gibbs sampling method. In Gibbs sampler, the change point parameter is generated by Metropolis-Hastings algorithm. We apply our methodology to numerical data to examine it.

• 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 Korean Society for Quality Management
• /
• v.16 no.2
• /
• pp.68-81
• /
• 1988

Testing procedures for a detection of change point in the regression model with correlated errors are discussed. A Bayesian approach is adopted and applied to a regression model with errors following an AR(1) model.

• 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.

• The Korean Journal of Applied Statistics
• /
• v.27 no.4
• /
• pp.589-603
• /
• 2014

When consecutive data follows different distributions(depending on the time interval) change-point detection infers where the changes occur first and then finds further inferences for each sub-interval. In this paper, we investigate the Bayesian detection of multiple change points. Utilizing the reversible jump MCMC, we can explore parameter spaces with unknown dimensions. In particular, we consider a model where the signal is a piecewise linear function. For the Bayesian inference, we propose a new Bayesian structure and build our own MCMC algorithm. Through the simulation study and the real data analysis, we verified the performance of our method.

• The Korean Journal of Applied Statistics
• /
• v.15 no.1
• /
• pp.57-71
• /
• 2002

We introduce three types of exponential survival models, such as simple model, change-point model and finite mixture model in this paper. Among these models, in order to choose the best model, the model choice method is proposed using Gelfand and Ghosh(1998)'s idea. Then to avoid the computational difficulties, data augmentation method (Tanner and Wong, 1987) and Gibbs sampler (Gelfand and Smith, 1990) are employed. Our methodology is applied to both simulated data and Stangl (1991)'s On-impramint Hydrochloride data.

• Journal of Korea Water Resources Association
• /
• v.43 no.7
• /
• pp.645-655
• /
• 2010

In this study, occurrences of relative probabilistic changing points between Chukwooki rainfall data (CWK) and modern rain gage data (MRG) were analyzed using Barry and Hartigan (BH) Bayesian changing points estimation method which estimated the changing points by calculation of change probabilities at each point. Since any natural phenomenon cannot be simulated identically and perfectly, a statistical method which can not consider the sequential order has its limitation on prediction of a specific time of occurrence. In this respect, Homogeneity analysis between CWK and MRG was performed through the occurrence investigation of relative probabilistic changing points for four rainfall characteristics of data sets using BH bayesian model which estimate the change point by calculating the relative probabilities in each data points. The results show that statistical characteristics of CWK are not different significantly from MRG, even though considered that there may be little quantitative difference CWK and MRG caused from limitation of measurement accuracy of CWK.