Afrika Statistika

Bayesian change-point estimation in the presence of a single outlier

Cherifa Belkacem and Hocine Fellag

Full-text: Open access

Abstract

The Bayesian estimation of the change-point in independent gaussian samples is considered. The impact of an outlier on the performance of the Bayesian procedure is studied and the posterior density under contamination is given. In this paper, we show that, in the case of small samples, an outlier has a significant impact on the estimation of the change-point. However, if the sample size is enough high, the estimation performs well.

Article information

Source
Afr. Stat., Volume 7, Number 1 (2012), 381-390.

Dates
First available in Project Euclid: 1 February 2013

Permanent link to this document
https://projecteuclid.org/euclid.as/1359744264

Mathematical Reviews number (MathSciNet)
MR3034385

Zentralblatt MATH identifier
1258.62025

Subjects
Primary: 62F15: Bayesian inference
Secondary: 62F30: Inference under constraints

Keywords
Bayesian estimation Change-point Gaussian models Outlier

Citation

Belkacem, Cherifa; Fellag, Hocine. Bayesian change-point estimation in the presence of a single outlier. Afr. Stat. 7 (2012), no. 1, 381--390. https://projecteuclid.org/euclid.as/1359744264


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