Statistical model selection based on Bayes decision theory and its application to change detection problem

Masayuki Gotoh, Shigeichi Hirasawa

Research output: Contribution to journalConference article

1 Citation (Scopus)

Abstract

The statistical model selection problems are discussed, and the criterion based on the Bayes decision theory for the detection of the true model is derived. We propose a new Bayesian model selection scheme, which can detect the change points of the parameter of the information source and also estimate each unknown parameter. In this paper, we formulate the Bayes optimal solution of the change detection problem, and analyze its property of the consistency.

Original languageEnglish
Pages (from-to)629-638
Number of pages10
JournalInternational Journal of Production Economics
Volume60
DOIs
Publication statusPublished - 1999 Apr 20
EventProceedings of the 1997 14th International Conference on Production Research, ICPR-97 - Osaka, Jpn
Duration: 1997 Aug 41997 Aug 8

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics and Econometrics
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering

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