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

Masayuki Gotoh, Shigeichi Hirasawa

研究成果: Conference article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)629-638
ページ数10
ジャーナルInternational Journal of Production Economics
60
DOI
出版ステータスPublished - 1999 4 20
イベントProceedings of the 1997 14th International Conference on Production Research, ICPR-97 - Osaka, Jpn
継続期間: 1997 8 41997 8 8

ASJC Scopus subject areas

  • ビジネス、管理および会計(全般)
  • 経済学、計量経済学
  • 経営科学およびオペレーションズ リサーチ
  • 産業および生産工学

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