Open Access
November 2012 Bayesian change-point estimation in the presence of a single outlier
Cherifa Belkacem, Hocine Fellag
Afr. Stat. 7(1): 381-390 (November 2012).


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.


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Cherifa Belkacem. Hocine Fellag. "Bayesian change-point estimation in the presence of a single outlier." Afr. Stat. 7 (1) 381 - 390, November 2012.


Published: November 2012
First available in Project Euclid: 1 February 2013

zbMATH: 1258.62025
MathSciNet: MR3034385

Primary: 62F15
Secondary: 62F30

Keywords: Bayesian estimation , Change-point , Gaussian models , outlier

Rights: Copyright © 2012 The Statistics and Probability African Society

Vol.7 • No. 1 • November 2012
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