A Note on Change Point Analysis Using Filtering

Author(s):

Reza Habibi *

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
The Kalman-Bucy filter is studied under different scenarios for observation and state equations, however, an important question is, how this filter may be applied to detect the change points. In this paper, using the Bayesian approach, a modified version of this filter is studied which has good and justifiable properties and is applied in change point analysis.
Keywords:

Bayesian theorem , Change point , Kalman-Bucy filter

Language:
English
Published:
Journal of Algorithms and Computation, Volume:55 Issue: 1, Jun 2023
Pages:
123 to 129
https://www.magiran.com/p2579710