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Linking Frequentist and Bayesian Change-Point Methods

Authors :
Ardia, David
Dufays, Arnaud
Criado, Carlos Ordas
Publication Year :
2023

Abstract

We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian model with a specific class of prior distributions. This allows results from the frequentist and Bayesian paradigms to be bridged together. Thanks to this link, one can rely on the consistency of the number and locations of the estimated CPs and the computational efficiency of frequentist methods, and obtain a probability of observing a CP at a given time, compute model posterior probabilities, and select or combine CP methods via Bayesian posteriors. Furthermore, we adapt several CP methods to take advantage of the MDL probabilistic representation. Based on simulated data, we show that the adapted CP methods can improve structural break detection compared to state-of-the-art approaches. Finally, we empirically illustrate the usefulness of combining CP detection methods when dealing with long time series and forecasting.

Subjects

Subjects :
Statistics - Methodology

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2306.05265
Document Type :
Working Paper