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On the use of loss functions in the changepoint problem

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Summary

We consider a sequence of independent random variables whose densities depend on a parameter which is subject to a change at an unknown time point. A Bayesian decision-theoretic approach is used to obtain an optimal choice of changepoint. The exponential and multivariate normal models are analyzed, and some numerical examples are given.

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Authors and Affiliations

  1. University of Toronto, Toronto, Canada

    Irwin Guttman & Ulrich Menzefricke

Authors
  1. Irwin Guttman
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  2. Ulrich Menzefricke
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Guttman, I., Menzefricke, U. On the use of loss functions in the changepoint problem. Ann Inst Stat Math 34, 319–326 (1982). https://doi.org/10.1007/BF02481030

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  • DOI: https://doi.org/10.1007/BF02481030

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