Objective Bayesian Analysis for Change Point Problems
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In this paper we present an objective approach to change point analysis. In particular, we look at the problem from two perspectives. The first focuses on the definition of an objective prior when the number of change points is known a priori. The second contribution aims to estimate the number of change points by using an objective approach, recently introduced in the literature, based on losses. The latter considers change point estimation as a model selection exercise. We show the performance of the proposed approach on simulated data and on real data sets.
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