Afrika Statistika

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

Cherifa Belkacem and Hocine Fellag

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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

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

First available in Project Euclid: 1 February 2013

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

Bayesian estimation Change-point Gaussian models Outlier


Belkacem, Cherifa; Fellag, Hocine. Bayesian change-point estimation in the presence of a single outlier. Afr. Stat. 7 (2012), no. 1, 381--390.

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