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

Masayuki Goto, Shigeichi Hirasawa

Research output: Contribution to journalArticle

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 language English 629-638 10 International Journal of Production Economics 60 https://doi.org/10.1016/S0925-5273(98)00186-8 Published - 1999 Apr 20

### Fingerprint

Decision theory
Statistical Models
Change detection
Statistical model
Model selection
Information sources
Change point
Optimal solution
Bayesian model

### ASJC Scopus subject areas

• Economics and Econometrics
• Industrial and Manufacturing Engineering

### Cite this

In: International Journal of Production Economics, Vol. 60, 20.04.1999, p. 629-638.

Research output: Contribution to journalArticle

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