Bayesian Single Changepoint Estimation in a Parameter-driven Model

摘要

In this paper, we consider the problem of estimating a single changepoint in a parameter-driven model. The model - an extension of the Poisson regression model - accounts for serial correlation through a latent process incorporated in its mean function. Emphasis is placed on the changepoint characterization with changes in the parameters of the model. The model is fully implemented within the Bayesian framework. We develop a RJMCMC algorithm for parameter estimation and model determination. The algorithm embeds well-devised Metropolis-Hastings procedures for estimating the missing values of the latent process through data augmentation and the changepoint. The methodology is illustrated using data on monthly counts of claimants collecting wage loss benefit for injuries in the workplace and an analysis of presidential uses of force in the USA.